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Bộ mẫu quản lý rủi ro mô hình

Chính sách quản lý rủi ro mô hình, tài liệu phát triển mô hình, báo cáo thẩm định mô hình, backtesting VaR và kế hoạch giám sát mô hình.

Bước 1

Đánh giá và quản trị

  1. Model Risk Management Policy Template (SR 26-2, PRA SS1/23)

    Đầy đủ

    Model definition, roles, inventory fields, tiering matrix, development, risk-based validation, monitoring, overlays, vendor models, GenAI scope, issues, reporting

    SR 26-2 / OCC 2026-13 / FDIC FIL-15-2026 (2026); PRA SS1/23; ECB guide to internal models (2025)
Bước 2

Tài liệu

  1. Model Development Document Template (Credit and Market Risk Models)

    Đầy đủ

    Purpose and use, design options, data and default definition, logistic PD method, calibration and MoC, Gini, PSI and binomial tests, limitations, implementation, monitoring

    SR 26-2 (2026); PRA SS1/23 Principle 3; CRR Arts 178, 185; EBA/GL/2017/16
Bước 3

Kiểm chứng

  1. Model Validation Report Template (SR 26-2 / SR 11-7)

    Đầy đủ

    Independent model validation: soundness, data, outcomes and back-testing, benchmarking, stress tests, findings, conclusion

    Federal Reserve SR 26-2 / OCC Bulletin 2026-13 Revised Guidance on Model Risk Management (2026), superseding SR 11-7; PRA SS1/23; ECB guide to internal models (2025)

  2. VaR Backtesting Report Template (Kupiec, PLA Test)

    Đầy đủ

    Hypothetical and actual P&L, exception list and root causes, zone, Kupiec and Christoffersen tests, multiplier effect, desk-level backtesting and PLA, actions

    CRR (EU) 575/2013 Art. 366; Basel Framework MAR32 (chapter ID)

  3. Model Card Template (Mitchell et al. 2019)

    Đầy đủ

    Model details, intended and out-of-scope uses, factors, metrics, data, disaggregated results, ethics, caveats

    Model Cards for Model Reporting (Mitchell et al., 2019)

  4. Bank Stress Testing Programme Template (EBA/GL/2018/04)

    Đầy đủ

    Bank stress testing programme: governance, test inventory, scenario design, macro variables, methods by risk, results, actions, reverse stress test, use

    EBA/GL/2018/04; CRD Arts 73, 86, 100; EBA/GL/2026/06; BCBS Stress testing principles 2018 (name only)

  5. Expected Credit Loss Methodology Template (IFRS 9, CECL)

    Đầy đủ

    ECL methodology: scope, governance, segmentation, default, staging and SICR, PD x LGD x EAD x discount example, scenarios and weights, overlays, CECL

    IFRS 9 section 5.5 (names only); FASB ASC 326; EBA/GL/2017/06
Bước 4

Giám sát

  1. Model Monitoring Plan Template (MLOps)

    Chuẩn

    Production ML monitoring: performance, drift (PSI), data quality, fairness, latency, alerts, retraining triggers