Example Timeline of Model Risk Errors and Corrections

Risk report accuracy declines regularly in the course of business: Input/output data errors, model configuration, formatting, & validation errors all contribute to the degradation of risk reporting trustworthiness.

Red Swan Risk has been diagnosing and remediating Model Risk since 2008, directly targeting the sources of Model Risk.
  • Input/output data management and process automation
  • Model configuration, formatting, and validation
  • Ongoing monitoring, diagnostics, analysis and remediation
  • Version control, documentation and audit support
Market data error distorts reports
Increased sizing of option position exposes model error
New security types added to portfolio
Exchange-traded positions added using fast-fill model
Proxy rules added for positions that cannot be modeled
Exchange-traded mapping rules adjusted
Fully modeled positons added
Market data over-rides to fully modeled positions
New models configured
New models re-configured to new market data