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MODEL MONITORING


Meware's solution for PD/LGD Model Monitoring:

Once PD/LGD model's are product, they have to be monitored by banks, constantly, to define their prognostic capability, and define, if necessary, a maintanence service for model's components. Calculations have to be made following the Stability, Performance and Calibration driver, defined by Basilea's committee in “Working Paper #14”.

To make this type of monitoring, banks often used individual productivity tools, pandering to Banca D'Italia relevations, “according to wich”, this process has to be managed in a structured way, also to permitt the proper dialogue between Risk Direction and Endorsement Direction.

In this environment, Meware gained a great competence using SAS solution called “Model Monitoring” wich allows to:

1- Have a solution wich calculates all the indicators written in “Working Paper #14” automatically; then it makes that indicators available on the WEB with a “traffic light representation”, wich allows an immediate comprehension and usability.

2- Have a solution wich is not necessarly linked to a SAS ambient of valutation/production: being based on a separate datamodel, it can be filled by any type of data source.

3- Have a solution wich in few time makes the assessment of WP14 indicators, wich can also be, partially or totally, modified in a fast and simple way, in order to product new indicators or modify assessment logics or the limits of those wich are available.

4- Have a solution wich permits to evaluate models in terms of output product but, at the same time, permitting also to supervise the contribute wich is given by the single variable to the whole model.

-Meware's solution main characteristics are flexibility and starting/using handiness, filling the process gaps without an asset's loss of value.

References: BNL, Banca Popolare per l’Emilia Romagna, Banca delle Marche, Banca Popolare di Vicenza


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