All models relevant to the Bank are covered by the regular independent validation process. At the same time, in 2014 in accordance with the internal regulations, the process of giving opinions on the significant models for the Group by the validation unit of the Bank was started.
The objective of models management and model risk management is to mitigate the level of model risk in the Group. Model risk management is performed through identification, assessment and monitoring of model risk, reporting and taking management actions. Entities, in which the models risk is considered to be significant, implement appropriate internal regulations after consultation with the Bank. Solutions functioning in the Bank are used in the Group, with the possibility of their individual adaptation to the specific nature of the particular Entities.
The model risk evaluation is aimed at determining the scale of threats associated with the occurrence of the model risk. The assessment of the risk level is performed on the level of a single model for the Group’s entities and aggregate assessment of the model risk at the Group level.
The purpose of management actions is to form a model risk management process and the level of this risk.
Management actions related to model risk in particular consist of:
- issuing internal regulations of the Bank,
- determining acceptable levels of risk,
- issuing recommendations,
- making decisions about the use of tools supporting model risk management.
All models relevant to the Bank are covered by the regular independent validation process. At the same time, in 2014 in accordance with the internal regulations, the process of giving opinions on the significant models for the Group by the validation unit of the Bank was started.