Model governance

Internal models have become integral to how firms compute their risk-weighted assets, but the total capital a bank must hold against their models will also be informed by the procedures that govern how these models are built, tested and maintained, and how a bank responds to challenges from its regulator.

ADM worked on an interim basis with a major UK bank (Oct 2009–Jan 2010) to support the bank’s ongoing dialogue with the FSA on their Basel II credit models and to actively contribute to its credit models committees. ADM’s expertise is based on Anita Millar’s econometric training together with her experience, both as part of, and leading, teams that built models measuring counterparty credit risk.