The Evolution of Enterprise Model Risk Management

By Jos Gheerardyn

Background information

Model risk management (MRM) is the art of handling the inherent uncertainty related to mathematical modelling. We create algorithms for many different reasons. In the past, most models were built to study the evolution of dynamical systems (e.g. a credit risk model or a valuation model). Models were often created via a first-principles approach with analytical tractability in mind.

Nowadays, ML models are everywhere, impacting both our individual behavior and changing the dynamics of entire societies. With such a persistent use of models, understanding the risks involved becomes mandatory since the consequences of model failure can be massive.

This is why there is a continuously growing pressure from governments and regulators to increase requirements for MRM and improve AI governance. Because of this evolution, financial organizations are looking at technology to address these challenges. In the current white paper we expand on this topic.

Writer

Jos Gheerardyn, CEO and Co-founder of Yields.io

Jos Gheerardyn has built the first FinTech platform that uses AI for real-time model testing and validation on an enterprise-wide scale. A zealous proponent of model risk governance & strategy, Jos is on a mission to empower quants, risk managers and model validators with smarter tools to turn model risk into a business driver. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst.

Over the past 15 years he has been working with leading international investment banks as well as with award-winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos Gheerardyn holds a PhD in superstring theory from the University of Leuven, Belgium.

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