Vendor Support of Model Risk Management of Vendor Models


Financial firms increasingly use models bought from vendors. Widespread use of vendor models poses unique challenges for model risk management activities. Expertise about a purchased model is external to a client firm, but model risk must nevertheless be managed by the client using the same standards applied to models built in-house. Cooperation by the vendor in certain elements of model risk management is therefore a necessity. Clients and vendors benefit from a common understanding of how vendors can be helpful, which is why the GARP Risk Institute acted as secretariat for a working group of representatives from major financial firms represented on GARP's Buy Side Risk Management Forum to produce a downloadable guide for model vendors and their clients. The document specifies resources that clients may need vendors to provide to support their risk management of vendor models.

Vendors may use the document to better understand the needs of clients, bearing in mind that the relevance of each element of the document will vary across client-vendor pairs. Clients may wish to use the document as part of their contracting for models, modifying it as appropriate to fit their situation.

The contents of the document are likely to be applicable not only to asset managers but also to banks, insurers and any other financial firm that manages model risk. As experience acculumates, the document may change from time to time.


Members of the working group include:

Abhisekh Adukia (Alliance Bernstein); Kashi Behrstock (BlackRock); Joseph Ceonzo; Lynley Chada (DWS); Ross Cuddeback (DWS); Anthony DaCosta (TD Asset Management Inc.); Chris Grix (Allianz Global Investors); Frank Hofmann (Allianz Global Investors); Nikolai Kukharkin (TIAA); Hua Julia Li (State Street Global Advisors); Patrick Martin-Breen (MetLife); Kristen Walters (Natixis Investment Managers); Mark Carey (GARP Risk Institute).


Download full text as Word doc
Download full text as PDF

We are a not-for-profit organization and the leading globally recognized membership association for risk managers.

weChat QR code.
red QR code.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2024 Global Association of Risk Professionals