Dr. Wenling Lin,
FRM
Senior Financial Economist
Market Risk Analysis Division
OFFICE OF THE COMPTROLLER OF THE CURRENCY
Washington, D.C.
OCC Bulletin 2011-12 Practical
Model Risk
The increasing reliance on quantitative models/applications in Asset
Management industry creates substantial model risk, which can
potentially impact business financials and reputation. Based on the
OCC 2011-12, this talk informs Asset Management professionals on how
to set up a sound model risk management framework that can
effectively mitigate/manage model risks and ensure prudential
business practices. This talk covers all the essential topics
starting with how to define models versus applications/tools, what
are the sources of model risks and how to identify them, why and how
to establish the sound governance and control process as well as the
robust process for model development, use, and implementation, and
finally how to validate internally-developed and vendor models based
on the core principles behind the OCC 2011-12. Practical examples
from Asset Management practices and regulators’ expectations will be
offered.
