Model risk management

Digitalisation is ensuring that the importance of models in the financial sector continues to grow alongside the number of models. Existing approaches to managing model risk are therefore reaching their limits. Regulators are also recognising the increasing importance of models and model risks and are creating a need for further action with ever new requirements, e.g. as part of the TRIM (Targeted Review of Internal Models) project.

KPMG assists you in the development of sustainable model risk frameworks and also supports you in their implementation. Our services range from designing guidelines for model risk management to structuring and implementing a model inventory or carrying out model validations. In addition to our technical expertise, we also offer our clients in-depth and integrated project management expertise.

Development of future-proof model risk frameworks required

We have extensive experience in the context of projects to analyse and implement model risk management processes along the model lifecycle, governance frameworks and model inventories. In addition, we have already carried out and supported numerous validations and implementations of frameworks for the validation of risk and assessment models, and in particular we have led several software selection processes on the topic of model risk management.

We have also built up extensive benchmark knowledge of model risk management frameworks and processes through a large number of audits of national and international banks and our strong international network.

Overview of current model risk topics and our service portfolio:

Model governance

We provide support from the initial gap analysis of model risk management through to the implementation of guidelines, policies and processes along the model life cycle. This includes the design of the model risk framework, taking regulatory requirements into account.
Model identification

We can also provide you with our expertise on fundamental issues such as the definition of the terms "model" and "model risk" and the determination of criteria for identifying models.
Model inventory

We support you in taking stock of your models, defining key attributes of the inventory and specifying business requirements for the IT solution of your model inventory.
Model validation

We help you put your validation processes to the test and, if necessary, reorganise them to cope with the growing importance of models. Of course, our experts will also actively assist you with the validation of your models and the specification of model validation standards.
Model risk measurement

Ultimately, the measurement of model risks is a key factor in successful model risk management. We support you with quantitative and qualitative methods to determine the risk of your models so that you can optimise your risk appetite.

Our team has many years of experience and covers all relevant aspects of model risk issues - from basic processes and organisational structures to validation methods and regulatory requirements, both in terms of design and implementation. We have proven expertise in this field thanks to a wide variety of projects relating to model risks and the validation of models. As a leading consultant and auditor for banks, we have extensive knowledge of best practice solutions in the area of model risk management and can also draw on a unique network of strong partners if required, which we would be happy to bring to your project.

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