A gentle introduction to model risk quantification in commercial banking

Tiziano Bellini

Model risk is investigated from a commercial banking viewpoint. We firstly analyze model misspecification. Then, the focus shifts towards model sensitivity. Finally, interactions among various models are scrutinized. Our overarching goal is to derive a distribution of indicators for summarizing the impact of model risk on synthetic measures like bank’s economic, capital, liquidity ratios, and so on. Governance impacts are also considered in terms of the definition of a comprehensive model appetite framework with corresponding tolerance bands.

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Year of publication:	2022
Authors:	Bellini, Tiziano
Published in:	Risk management magazine. - Milano : Associazione Italiana Financial Industry Risk Managers (AIFIRM), ISSN 2724-2153, ZDB-ID 3139381-0. - Vol. 17.2022, 1, p. 4-11
Subject:	Model risk \| uncertainty \| extreme events \| Risikomanagement \| Risk management \| Bankrisiko \| Bank risk \| Risiko \| Risk \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risikomodell \| Risk model \| Bank \| Kreditrisiko \| Credit risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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