Abstract
Building an effective Model Risk Management (MRM) system requires advanced skills in mutliple fields, such as technology, econometrics, and business. It is a dilemma that MRM practitioners are struggling with. Very often the enterprises are seeking someone who can understand their business ideas and transform them to technology solutions or come up with technology solutions to support their MRM ideas. However, many quantitative analysts fail in the required software development skills, while they are critical in this type of the project. We are witnesses these struggles where some model risk leaders fail in finding competent technologists or econometricians to implement their risk management philosophy. Also we have cases where technologists or econometricians cannot receive proper requirements to implement the functionality that the business needs. In this paper, we propose a MRM framework based on a review of MRM systems. Also we present the methodology of producing an effective MRM system.
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