close
Share with your friends

Model Risk Management

Model Risk Management

Responding to the challenges presented by COVID-19

1000

Related content

pointing digital screen

The COVID-19 pandemic has significantly affected financial markets in the first quarter of 2020. Stock markets have moved sharply and volatility has increased. Bond yields and rates have reached record lows and credit-default-swap indices have been surging, reflecting concerns of increased corporate default risk. This has led to wide-ranging impacts on risk model outputs that are used for risk-weighted asset computations as well as for capital and financial reporting.

Risk models that were developed in a pre-COVID-19 macroeconomic landscape may not have responded well to current market dynamics, which puts pressure on those responsible for managing and validating these models. In this paper, we set out key impacts on various risk model clusters and argue for an urgent refocus on model risk management.

© 2020 KPMG Huazhen LLP, a People's Republic of China partnership, KPMG Advisory (China) Limited, a limited liability company in China, KPMG, a Macau partnership and KPMG, a Hong Kong partnership, are member firms of the KPMG global organisation of independent member firms affiliated with KPMG International Limited  ("KPMG International"), a private English company limited by guarantee. All rights reserved. The KPMG name and logo are registered trademarks or trademarks of KPMG International.

 

For more detail about the structure of the KPMG global organisation please visit https://home.kpmg/governance.

Connect with us