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Are more complex models always better?

14 Jun 2019
Zaid Siddiqi

model validation modelling risk advisory banks risk advisory insurers risk management risk modeling treasury and risk technology

A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.

A new standard in the Dutch mortgage market

25 Apr 2019
Elske Leenaars and Mitchell Ponder

financial institutions model validation mortgage risk advisory asset managers risk advisory banks risk advisory insurers risk management valuation desk

During the past few years, the Dutch mortgage market has changed. Although their name suggests otherwise, fixed rate mortgages are nowadays anything but fixed.

Quantification of model risk

5 Feb 2019
Marie Gotthardt and Jakub Piotrowski

financial institutions model validation risk advisory asset managers risk advisory banks risk advisory insurers risk management risk modeling

Risk management and treasury specialists are using diverse models on a daily basis to manage various risks. It is easy to forget about the risk that is implied in using the model itself. What we refer to as ‘model risk’ can arise due to misuse of the model, incorrect model choices or inappropriate model use.

Time for collective risk mitigation

31 Jul 2018
Zaid Siddiqi

financial institutions model validation rating advisory risk advisory asset managers risk advisory banks risk advisory insurers risk management valuation desk

In April 2018, The Economist wrote about the sharp increase of methane in the atmosphere during the past 10 years. This increase is worrying because, like carbon dioxide, methane retains heat and contributes to the heating of the earth. Scientists don’t agree on the cause of the increase either.

Zanders Model Risk Framework

12 Jun 2018
Marie Gotthardt, Martijn de Groot and Yvonne Sijm

financial institutions model validation risk advisory asset managers risk advisory banks risk advisory insurers risk management risk modeling

As automation and digitalization are adopted more widely in the financial industry, the number of financial models used is also steadily growing. As a result, an institution’s success or failure depends increasingly on the accuracy and reliability of those models.

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Are more complex models always better?

A new standard in the Dutch mortgage market

Quantification of model risk

Time for collective risk mitigation

Zanders Model Risk Framework

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