經濟資本模型驗證方法(專業版)

　　

【正文】 explore the potential costs of using models in this situation (., if key assumptions prove to be inaccurate) ? While validation practices depend on model type amp。 validity of assumptions – Degree to which model is forwardlooking – Absolute risk quantification amp。 predictive accuracy of risk estimate ? It is important to stress the power of individual tests amp。 use, weaknesses targeted at evaluation of overall performance might result in banks operating with inappropriately calibrated models ? This could be of concern if assessment of overall capital adequacy is an important application of the model ? Improvements in these areas could include further benchmarking amp。 senior management is necessary for them to understand that there may be greater uncertainty around the output from EC models ? Models not fully validated implies output should generally be treated with extra conservatism ? Understand amp。 relative quantification ? Properties of an EC model for which only weaker validation processes are available include: – Conceptual soundness amp。 acknowledge that views as to strength and weakness are likely to differ Providing Confidence Regarding EC Model Assumptions (cont.) ? There is great difficulty in validating conceptual soundness of an EC model due to many untestable or hardtotest assumptions made: – Family of statistical distributions for risk factors – Economic processes driving default or loss (., observable vs. latent) – Dependency structure among risks or losses (., copulae) – Behavior of management or economic agents amp。 industrywide exercises, backtesting, P/L analysis and stress testing Supervisory Concerns and Expectations in the Validation of EC Models (cont.) ? Main areas of improvement seen to be in benchmarking of model parameters and the conduct of crossfirm parisons of models ? .,IACPM and ISDA study (2021) on portfolio credit risk models ? Evidence that banks ensure EC models are sensitive to the expected drivers of risk amp。 limitations to users amp。 to the external environment – Good marginal properties – Rank ordering amp。 how these vary over time ? Some EC models are of risk aggregation models where estimates for individual categories are bined to generate a single risk figure – There may be no best or unique way to do this aggregation ? Since many of these assumptions may be untestable, it may be impossible to be certain that a model is conceptually sound ? While the conceptual underpinnings may appear coherent and plausible, they may in practice be no more than untested hypotheses ? Opinions may reasonably differ about the strength or weakness of any particular process in respect of any given property Validation of EC Models: Introduction to Range of Practice ? While we will describe the types of validation processes that are in use or could be used, note that the list is not prehensive ? We do not suggest that all techniques should or could be used by banks ? We wish to demonstrate that there is a wide range of techniques potentially covered by our broad definition of validation ? This is creating a layered approach, the more (fewer) of which that can be provided, the more (less) fort that validation is able to provide evidence for or against the performance of the model ? Each validation process provides evidence for (or against) only some of the desirable properties of a model ? The list presented below moves from the more qualitative to the more quantitative validation processes, and the extent of use is briefly discussed Validation of EC Models: Range of Practice in Qualitative Approaches ? The philosophy of the use test as incorporated into the Basel II framework: if a bank is actually using its risk measurement systems for internal purposes, then we can place more reliance on it ? Applying the use test successfully will entail gaining a careful understanding of which model properties are being used and which are not ? Banks tend to subject their models to some form of qualitative review process, which could entail: ? Review of documentation or development work ? Dialogue with model developers or model managers ? Review and derivation of any formulae or algorithms ? Comparison to other firms or with publicly available information ? Qualitative review is best able to answer questions such as: ? Does the model work in theory? ? Does the model incorporate the right risk drivers? ? Is any theory underpinning it conceptually wellfounded? ? Is the mathematics of the model right? Range of Practice in Qualitative Approaches to Validation (continued) ? Extensive systems implementation testing is standard for productionlevel risk measurement systems prior to implementation ? ., user acceptance testing, checking of model code, etc. ? These processes could be viewed as part of the overall validation effort, since they would assist in evaluating whether the model is implemented with integrity ? Management oversight is the involvement of senior management in the validation process ? ., reviewing output from the model amp。 outputs permit evaluation of the relative risk ? Although there is scope improvement, some signs of progress ? Weaknesses of validation particularly when the total capital adequacy amp。 technical difficulties ? Clear reporting of such difficulties amp。 their validation involves assessing those estimates, so this related principle remains appropriate ? Broadly interpreted validation processes set out herein in different ways all provide insight into the predictive ability of EC model Providing Confidence Regarding EC Model Assumptions ? Properties of an EC model that can be assessed using powerful tools, and hence that are capable of robust assessment, include: – Integrity of model implementation – Degree to which grounded in histo