Principles and Practices of Model Risk Management (MRM)

Häftad, Engelska, 2027

1 319 kr

Kommande

Principles and Practices of Model Risk Management (MRM) offers a thorough yet practical introduction to MRM, helping modern enterprises and financial engineers successfully navigate evolving, global markets. Initially developed within the financial industry, the advent of increasingly sophisticated computer models and AI have broadened the scope and necessity of model risk management. This textbook fills a critical gap by guiding readers in designing and implementing robust model risk frameworks across evolving scenarios and data landscapes. Authored by experts with extensive quantitative backgrounds and significant experience in model risk management within major banks, this book articulates modern MRM concepts and shares best practices from industry practitioners. Relevant for students of financial engineering, financial mathematics, and beyond, this essential resource is designed to benefit risk management professionals, financial analysts, regulatory compliance officers, and anyone involved in the development, validation, and oversight of financial models, providing them with the tools and understanding necessary to navigate and mitigate model risks effectively. Online hosted Jupyter notebooks offer various examples and datasets to put skills into practice across chapters. This book covers the regulatory background of model risk management across different jurisdictions, delves into the various types of model risk, and elucidates the tools and methodologies used for identifying, measuring, monitoring, and reporting model risk. It includes detailed sections on the principles of model risk management, enterprise risk management frameworks, model risk regulations and guidance, the three lines of defense in model risk management, and practical applications within the financial industry. Additionally, it addresses emerging trends and challenges, particularly in the context of generative AI models and future regulatory developments.

Presents the principles and practice of Model Risk Management (MRM)
Covers risk management frameworks, regulatory guidelines, model risk types, and tools for identifying, measuring, monitoring, and reporting model risk
Serves as a valuable resource for advanced undergraduate and graduate students in finance, business, and economics, providing practical insights across disciplines
Operationalizes risk management principles specifically for model risks, enabling readers to design and implement effective MRM frameworks.
Includes Jupyter notebooks with standalone examples hosted online, enhancing the learning experience with practical, hands-on materials that complement the theoretical content

Produktinformation

Utgivningsdatum2027-01-01
Mått191 x 235 x undefined mm
Vikt450 g
FormatHäftad
SpråkEngelska
Antal sidor400
FörlagElsevier Science
ISBN9780443277337

Tillhör följande kategorier

Redovisning inom Ekonomi och Ledarskap
Privatekonomi inom Ekonomi och Ledarskap

Charlie Lu is an industry-leader with extensive experience in building model and model risk management areas, including consumer credit cards, wholesale credits, counterparty credits, liquidity stress, IRRBB, market risk, derivatives pricing, operational risk, stress testing, and scenario expansion. Additional modeling experience spans across AI/ML in fraud detection, surveillance and compliance, marketing, valuation, and customer maintenance. He has helped establish respected brand names and served as an ultimate gatekeeper and arbitrager to resolve disagreements in model validation. Recognized as key contributor in building model risk management frameworks, including policy, standards, procedures, risk assessment, and large model frameworks to address aggregated model risk, Charlie Lu has also contributed significantly to regulatory mandates, including CCAR, LST, RRP, IRRBB, and CECL. Peter Russo is a risk professional in the model risk management space with expertise in multiple areas, including operational risk, wholesale credit risk, stress testing, liquidity stress, economic scenario generation, and market risk. Additionally, he has extensive experience in developing production-grade deep learning models for the e-commerce space. He is also a course designer and instructor for the Introduction to Model Risk Management course in Columbia University’s ERM program, which has been offered in the Columbia ERM program since January 2022.

Part I – Principles of Model Risk Management1. Introduction to Model Risk Management2. The Risk Management Framework- The Enterprise Risk Management Framework3. Model Risk Regulations and Guidance in the US, EU, and UK4. 1st Line - Model Development/Model Owners5. 2nd Line - Independent Model Risk Management6. 3rd Line Model Risk Management AuditPart II – Practices of Model Risk Managements7. Causes of Model Risk8. Model Risk Management in the Financial Industry9. Emerging Trends and Challenges10. Conclusion Appendices - Glossary of Terms - References and Further Reading - Templates and Checklists