Стратегическое управление документами и неструктурированной информацией
TRIM и MRM - Sas Institute...Model Review & Validation Model Usage Model Change Request MRM...
Transcript of TRIM и MRM - Sas Institute...Model Review & Validation Model Usage Model Change Request MRM...
SAS® FORUM
RUSSIA 2016
TRIM и MRM
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Copyr i g ht © 2016, SAS Ins t i tu t e Inc . A l l r ights reser ve d .
Николай Филипенков
Руководитель направления кредитного
скоринга и принятия решений компании
SAS в регионе EMEA
TRIM и MRM
Алексей Паль
Ведущий консультант SAS Россия / СНГ
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МОДЕЛЬНЫЙ РИСК – ЧТО ЭТО?
Примеры причин возникновения модельного риска
Неверные допущения и предположения
Неверное применение модели
Некачественные исходные данные
Ошибки программирования
F A I L
Модельный риск не может быть полностью устранен, но надлежащая контрольная среда позволяет
снизить его до приемлемого уровня.
ФИНАНСОВЫЕ ИНСТИТУТЫ МОДЕЛИ РЕШЕНИЯ КРИЗИС
Финансовые и
Репутационные
потери
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РАЗВИТИЕ РЕГУЛЯТОРНЫХ ТРЕБОВАНИЙ
1997 2000 2002
Federal Reserve
SR11/7
(Apr 2011)
Federal Reserve
“Range of current
practice”
(Aug 2013)
EBA SREP
Guidelines
(Dec 2014)
OCC 2000-16
Risk Bulletin
OCC 1997-24
Risk Bulletin
SOX
2002-404
2011 2013 2014
ОБЕСПОКОЕННОСТЬ РУКОВОДСТВА ТРЕБОВАНИЯ
Identify, estimate, monitor and manage model risk
Effective challenge and independent reviews
Robust internal controls and effective governance
Setup and maintain Model Inventory
Integrate model risk limits with risk appetite
Comprehensive and sustainable MRM program
Regulatory Expectations
Regulatory Fines
Increased Capital charges
Headline Risk
Non- compliance
Manage model risk like any other type of risk with sustainable systematic processes
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TARGETED REVIEW OF INTERNAL MODELS (TRIM)
MOTIVATION
• http://www.nordea.com/en/press-and-news/news-and-press-releases/press-releases/2015/10-02-07h00-outcome-of-the-2015-srep.html
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TARGETED REVIEW OF INTERNAL MODELS (TRIM)
TOPICS
• Topic 0: Overarching principles
• Topic 1: Roll-out and PPU
• Topic 2: Internal Governance, Internal Reporting and Organisation of CRCU
• Topic 3: Internal Audit
• Topic 4: Internal Validation
• Topic 5: Models Use
• Topic 6: Management of Models Changes and Extensions
• Topic 7: Data Quality Management
• Topic 8: Third party involvement
• Topic 9: Assignment of Exposures to Exposure Classes
• Topic 10: Default definition
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TRIM
TOPIC 0: OVERARCHING PRINCIPLES
Topic QuestionAnswers
(drop-down list)
Open textDocumentation to be
submitted
Documentation Do you have general internal principles or guidelines for internal models documentation?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
Model Life Cycle Do you have general internal principles or guidelines for internal models development?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
Internal Validation Do you have general internal principles or guidelines for model validation process?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
Internal Validation Do you have general internal principles or guidelines for model validation governance?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
Internal Validation Do you have general internal principles or guidelines for model validation reports?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
Internal Validation Do you have general internal principles or guidelines for model validation follow-up actions?
YesNo
(Open answer / Additional comment)
Please attach relevant documentation and exact references
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TRIM
TOPIC 1: ROLL-OUT AND PPU (PERMISSION TO USE THE
STANDARDIZED APPROACH)
• Do you have any internal policies and procedures regarding the sequential
implementation of the IRB across the different exposure classes?
• Do you have a procedure to ensure on a regular basis the sequential
implementation of the IRB approach is in line with the approved roll-out plan?
• Please provide a short description of the responsibilities of the involved
business units and management bodies, on the design and implementation of
the roll-out plan. What is the decision making process?
• Is the roll-out plan an agenda item of the management bodies (committees)?
If yes, please provide the respective recent minutes
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TRIM
TOPIC 2: INTERNAL GOVERNANCE, INTERNAL REPORTING AND
ORGANIZATION OF CRCU (CREDIT RISK CONTROL UNITS)
• How frequently is the management body or the designated committee informed about:
• the profile by grade?
• the migration across grades?
• the estimation of the relevant parameters per grade? …
• With regard to the model documentation framework:
• a. have you implemented and kept updated a register of all rating systems including all current
and past versions of rating systems for the period of at least three years?
• b. do you have an inventory system of model documents?
• c. do you have any policy to ensure the on-going quality of model documentation (e.g., version
control procedures, history of changes, author, reviewer)?
• d. how do you ensure that documentation is permanently up-to-date?
• e. how and by whom are relevant changes of documentation approved?
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TRIM
TOPIC 3: INTERNAL AUDIT
• Is the internal audit involved in the monitoring and internal reporting of the status of the
findings from the internal validation? If yes, please describe the exact procedure/policy
in place, if any.
• Please describe how often the internal audit disagreed with internal validation on the
status of its findings. Please provide some examples and statistics for years 2014 and
2015.
• Is the internal audit involved in the monitoring and reporting of the status of the
findings from the Supervisor? If yes, please describe the exact procedure/policy in
place, if any.
• How do you ensure that the remediation actions requested by the internal audit are
performed according to the defined schedule?
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TRIM
TOPIC 4: INTERNAL VALIDATION
• Please describe relevant decision making bodies (e.g. committees) and the reporting
line of the validation results.
• "Who decides on the action plan on the basis of the validation results
(recommendations)?"
• How do you ensure the tracking of the action plan? Who is responsible for it?
• Do you aggregate and compare validation results and provide an overall report
including the results of all rating systems?
• Is the validation of your internal estimates performed at all levels of approval (e.g.
consolidated, sub-consolidated and solo)?
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TRIM
TOPIC 5: MODELS USE
• To what extent do the internal ratings and default and loss estimates used in the
calculation of own funds requirements and associated systems and processes play a
role in the risk management and decision-making process, and credit approval of your
institution? For each of the following sub-topics, please specify which parameters are
involved and how.
• a. Approval and rejection of credit facilities (please separate retail and non-retail exposures). In
particular, do you use automatic approval process of credit facilities based on internal ratings (if
yes, please specify the proportion of automatic approvals)?
• b. Lending policies including the exposure limits, mitigation techniques and credit
enhancements
• c. Allocation or delegation of competence for the approval process
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TRIM
TOPIC 6: MANAGEMENT OF MODELS CHANGES AND
EXTENSIONS
• Do you have a model change policy in place?
• On which management level and/or committee has the relevant model change policy
been approved and when?
• Please specify the approximate breakdown of the above listed ex-ante/material
notifications (2014, 2015 and 2016) by original trigger type:
• a) Validation results
• b) Model Development Unit
• c) Supervisor actions
• d) Internal Audit
• e) Business request
• f) Other (please specify)
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TRIM
TOPIC 7: DATA QUALITY MANAGEMENT
• Do you have adequate rules in form of policies and procedures for the data processing
(e.g. data collection, migration, actualization and use) defined?
• Do you have a process for constantly improving the overall data quality (from data
entry to reporting)? If so, how frequently is performed such process?
• Please provide an overview of your IT implementation tests from data entry to
reporting (including the implementation of the rating models). Please also explain
which unit is responsible and how those implementation tests are documented.
• Please provide the map of IT infrastructure and interfaces for the purpose of the IRB
Approach
• Please list your five most material findings with regard to the collection and storage
requirements. Please indicate the origin of each finding (internal audit, internal
validation or supervisor) as well as the status of the requested remediation activities.
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TRIM
TOPIC 8: THIRD PARTY INVOLVEMENT
• Do you have a specific model change policy implemented for third-party models
(including triggers, procedures and timelines)?
• In case the institution is triggering the model change, what is the average time needed
for such changes to be incorporated by the third party?
• How do you ensure that you and the competent authority have full access to all
relevant information that is necessary for examining compliance with the requirements
and that the competent authorities may perform on-site examinations to the same
extent as within the institution?
• Do you have a specific internal validation policy for third party models?
• Please briefly describe your contingency plan(s) if the third party stops providing the
service (e.g. model maintenance, validation activities…)
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TRIM
TOPIC 9: ASSIGNMENT OF EXPOSURES TO EXPOSURE
CLASSES
• Please describe the controls that have been implemented to ensure an appropriate
assignment to exposure classes.
• Please briefly describe the main findings identified by the internal audit in the most
recent review of the assignment process.
• How does the institution ensure that the identification of Specialised Lending
exposures is performed by personnel who are aware of the terms and conditions and
of relevant details of the transaction that results in the exposure that is subject to the
assignment?
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TRIM
TOPIC 10: DEFAULT DEFINITION
• Do you use different definitions of default?
• At which level do you apply the default definition for retail exposures?
• If you use both the obligor and facility level, which are the portfolios with different level
of application?
• Do you use specific credit risk adjustments as an indication of default?
• Do you use distressed restructuring as an indication of default?
• Do you use sale of credit obligations as an indication of default?
• Have you specified a probation (observation) period (i.e. a period required before
reclassification of an obligor from default to a non-defaulted status during which the
obligor is monitored by an institution in order to make sure that the improvement in the
credit quality is factual and permanent) before the exposure / obligor can be
reclassified from default to non-defaulted status?
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ПРОЦЕСС УПРАВЛЕНИЯ МОДЕЛЯМИ
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ФУНКЦИОНАЛЬНЫЕ ВОЗМОЖНОСТИ
Model Candidate
AssessmentModel Inventory
Model Review & Validation
Model UsageModel Change
RequestMRM
CorrespondenceMRM Policy
Mgt.Model
Retirement
Управление документами Отчетность
Issues & Action Plan
Управление
процессами и
документооборотом
Управление процессами и
документооборотом
Импорт метаданных любого
типа модели, созданной на
различных технологиях
Гибкий механизм для
оценки,
соответствует ли
прототип модели
требованиям
Управление
доступом
Возможность для
проверки и
согласования
модели
Модули хранения свидетельств для
обеспечения защиты состоятельности
моделей перед регуляторными органами
Возможность разделить обязанности по проверки
модели на любом уровне.
Управление политиками и
стандартами
Систем построения
отчетности
Issues & Action Plan
Model Performance Tracking
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SAS® MODEL RISK MANAGEMENT
• Interactive dashboards for
executive management
• Drill-down into model risk
drivers
• Aggregate model risk across
the firm
• Full integration with Microsoft
Office® applications
• Web based interface to
capture and conduct end-to-
end model lifecycle
• Easy access to model
documents and artifacts
• User entitlement behavior
• Easily configured and
maintained by business users
• Pre-defined industry standard
workflow for each MRM
process
• Automated alert/ notification
dispatcher (real-time / timed)
• Flexible workflows
customizable by point and
click tool
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Примеры бизнес-кейсов
SAS® Model Risk Management
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SAS® MODEL RISK MANAGEMENT – КЕЙС 1
Бизнес-проблема
• Отсутствие целостного представления всех моделей, используемых в банке
• Отсутствие прозрачности в отношении статуса проверки моделей
• Ручное формирование отчетности и некорректное представления данных Совету Директоров
Решение
• Обеспечение полного жизненного цикла управления моделями
• Автоматизация документооборота на каждом этапе жизни модели
• Возможность формирования специализированной отчетности
Выгоды
• Обновленный и выверенный реестра моделей
• В систему разгружено 200+ моделей, 300+ проверок моделей and 150+ заявок на исправление моделей
• Целостное представление состояния всех моделей
• Крупнейший коммерческий
банк США со штаб-квартирой в
Техасе. 69,3 $ млрд в общем
объеме активов, $ 48,2 млрд в
общем объеме кредитов, и $
57 млрд в общем объеме
депозитов.
• Это 22-й по величине США
финансовый холдинг. В
Компании работает почти 9000
сотрудников. Операционные
подразделения компании
включают в себя
коммерческий банк,
розничный банк, а также
управление активами.
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SAS® MODEL RISK MANAGEMENT – КЕЙС 2
• Банк с общим объемом
активов $ 191 млрд,
является одним из
крупнейшим финансовым
холдингом США. Через свои
дочерние банки, компания
предоставляет депозит,
кредит, инвестиционные
услуги для широкого спектра
розничной торговли,
бизнеса и
институциональных
клиентов.
• Компания содержит около
1400 розничных отделений и
2160 банкоматов
Бизнес-проблема
• Повышенные требования к отчетности со стороны регулятора
• Неэффективное управление моделями.
• Отсутствие целостности данных и прозрачности в изменений моделей
• Повышенное давление по соответствию SR 11-7 и надзорные указаниям
Решение
• Внедрение передовой отраслевой практики в области управления рисками модели
• Обеспечение централизованного управления реестром всех моделей
• Обеспечение эффективной коммуникациями между всеми участниками процесса работы с моделями
Выгоды
• Единый источник для работы с моделями и всеми ее атрибутами на всем жизненном цикле
• Улучшенное измерение и мониторинг модельного риска
• Улучшение координации между заинтересованными сторонами
• Отчётность для всех уровней Системы Внутреннего Контроля
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Демонстрация
SAS® Model Risk Management
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SAS® MODEL RISK MANAGEMENT
ИНТЕРФЕЙС – ОПИСАНИЕ МОДЕЛИ
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SAS® MODEL RISK MANAGEMENT
ИНТЕРФЕЙС – ОТЧЕТНОСТЬ
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SAS® MODEL RISK MANAGEMENT
ИНТЕРФЕЙС – ОТЧЕТНОСТЬ (ПРОДОЛЖЕНИЕ)
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SAS® MODEL RISK MANAGEMENT
ИНТЕРФЕЙС – ОТЧЕТНОСТЬ (ПРОДОЛЖЕНИЕ)
SAS® FORUM RUSSIA 2016
Алексей ПальВедущий консультант SAS Россия / СНГ
http://linkedin.com/in/alexeypal
Вопросы?
Николай ФилипенковРуководитель направления кредитного скоринга и принятия решений компании SAS в регионе EMEA
http://linkedin.com/in/filipenkov