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Model Risk Management – Banking

One of the roles of this major bank’s trading floor is to provide reliable information on current and closed deals to a growing number of bank branches (currently exceeding 100). This information includes margins, positions etc.

The Bank uses a number of different trading platforms, limits and back office systems (including Kondor+, Prime, IBIS and MUREX) dealing with Bonds, FX Options, Swaps, Derivatives and other trades. Every day, from each system, a number of data extracts are loaded into a Risk database. This enables positions to be assessed and decisions made accordingly.

Unfortunately, the Risk department has noticed that input files sometimes contain invalid entries or missing data records. Undetected errors carry a risk of multiple US$10millions.

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