White paper on Model Risk Management: How to measure and quantify model risk?

Global Research & Analytics

5 December 2019

Published by B. Genest

White paper on Model Risk Management: How to measure and quantify model risk?

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, using different types of assumptions. Then, considering that in practice, a model risk management at model level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level.

Published by B. Genest

Article Global Research & Analytics - White paper on Model Risk Management: How to measure and quantify model risk? - 5 December 2019

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In this article : Management Risk GRA

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