Hi guys need your favour
I want to know details on MRM(model risk management)
Scenario: credit risk model is already built by the client we need to perform further things
1.what all things includes in further process(e.g model validation, regulation etc)
2.what is the day to day work of model risk analyst/manager
3. In Q1 What other things are there and how are we checking The model?

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Other things would include
1. model validation wherein you will access the validity of model by looking at the underlying data quality, modelling techniques, output testing etc. and ask questions to model dev team around the same.

Once you validate the model, it is now put into use.

2. Model monitoring team would now pick up the model and run it every quarter and check if everything is running smoothly, results are as expected using stat test like gini ks etc

3. Model Audit team is generally an extension of model validation which also test the suitability of the model by looking at audit parameters and if it complies with regulation and guidelines

So all in all validation and audit of a model is done once every year and monitoring is done quarterly

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