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Model validation system and method

A model verification and model technology, applied in instruments, data processing applications, design optimization/simulation, etc., can solve problems such as difficult to meet, frequent modification of regulatory requirements, etc.

Inactive Publication Date: 2018-04-24
MU SIGMA BUSINESS SOLUTIONS PVT
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

Additionally, regulatory requirements are frequently revised over time and difficult to meet
As a result, model validators face many difficulties in obtaining a representative view of the model development and validation life cycle

Method used

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  • Model validation system and method

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Embodiment Construction

[0023] The drawings are to be considered as schematic representations and elements illustrated in the drawings are not necessarily shown to scale. Rather, various elements are represented such that their functions and general purpose are apparent to those skilled in the art. Any connection or coupling between functional blocks, devices, components or other physical or functional units shown in the figures or described herein may also be through an indirect connection or coupling. Coupling between components can also be established via wireless connections. Functional blocks may be implemented in hardware, firmware, software or a combination thereof.

[0024] Various example embodiments will now be described more fully with reference to the accompanying drawings, in which only some example embodiments are shown. Specific structural and functional details disclosed herein are representative only for purposes of describing example embodiments. Example embodiments may, however,...

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Abstract

A model validation system and method are provided. The model validation system includes a memory and a processor. The processor is configured to enable a model validator to select a model for validation from an assigned set of models. Each model comprises a plurality of pre-defined attributes. The processor is further configured to assist interactions between a model developer and the model validator by defining a set of questions related to the selected model and identify a plurality of model risks for the selected model. The processor is further configured to design a validation work plan using a set of statistical tests. The validation work plan factors the identified model risks and the model validator selects the set of statistical tests from a plurality of statistical tests stored ina code repository. The processor is configured to execute the set of selected statistical tests for the validation work plan to generate a set of validation results of the selected model and categorize the plurality of model risks into one or more categories. The categorization is performed based on the set of validation results obtained during the validation of the selected model.

Description

technical field [0001] At least one example embodiment relates generally to model validation, and more particularly to systems and methods that systematize model validation and provide oversight of a broad suite of models spread across a bank's operations and identification of model risk in compliance with regulatory standards. Background technique [0002] Typically, potential risks must be identified in order for banks and other financial institutions to operate smoothly under stress scenarios, safeguard capital, liquidity, protect consumer assets and ensure capital adequacy. Potential risks can only be identified through rigorous model validation and continuous model monitoring. Today, model risk management is even more important and challenging due to the increased use of quantitative models by banks. [0003] After the 2008 financial crisis unraveled, regulators dramatically increased regulatory requirements for model validation. Furthermore, regulatory requirements a...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q10/10G06Q40/02
CPCG06Q10/0635G06Q10/103G06Q40/02G06Q10/06G06Q10/063G06Q10/0637G06Q10/067G06F30/20G06F30/333G06F17/18
Inventor A.库马V.斯普R.瓦马
Owner MU SIGMA BUSINESS SOLUTIONS PVT