Model Risk Management
Model inventory, validation status and ongoing performance monitoring across every pricing and risk model
Models in Inventory
142
Tier 1 (Critical) Models
18
Revalidations Due
14
Performance Flags Open
1
| Model | Owner | Tier | Last Validated | Status |
|---|---|---|---|---|
| FX Options Pricing Model | FX Options Desk | Tier 1 | 2025-11-02 | Performance Flagged |
| Historical Simulation VaR Engine | Enterprise Risk | Tier 1 | 2026-05-18 | Validated |
| CVA Monte Carlo Engine | Counterparty Credit Risk | Tier 1 | 2026-03-09 | Validated |
| Equity Derivatives Vol Surface | Equity Derivatives Desk | Tier 2 | 2025-09-14 | Revalidation Due |
| Credit Spread PD/LGD Model | Credit Trading Desk | Tier 2 | 2026-06-30 | Validated |
| IRB Correlation Overlay | Model Risk | Tier 2 | 2025-08-01 | Revalidation Due |
About This Agent
Data on This Page
The model inventory with owner, tier, last validation date and current status. Stat tiles roll up models in inventory (142), Tier 1 critical models (18), revalidations due (14), and open performance flags (1).
What This Agent Does
Maintains the full model inventory under an SR 11-7-style governance framework, tracks revalidation schedules by tier, continuously monitors live model performance against backtesting and benchmarking thresholds, and opens a finding automatically when a model degrades outside tolerance.
Worked Examples
- FX Options Pricing Model flagged after three consecutive weeks of backtesting exceptions above the 5% tolerance threshold.
- Equity Derivatives Vol Surface model is 11 months past its last validation, now due under the Tier 2 annual cycle.
- Historical Simulation VaR Engine passed its May 2026 revalidation with no material findings, next review scheduled May 2027.