MATLAB for Model Risk Management

Integrate analytics at every stage of the model governance lifecycle

Financial institutions use thousands of models in decision making and risk management. Given the average growth around 10–25% per annum at large institutions, it is crucial to have an effective model risk management solution from model development to model monitoring. Leading financial institutions use MATLAB® throughout the model governance lifecycle, including:

  • Developing, reviewing, validating, and approving financial models
  • Automatically generating model documentation and reporting
  • Continuously monitoring the model’s performance

Model Inventory

  • Provide centralized access to models
  • Manage model validation projects
  • Inspect models, intermediate results, and audit trail
See how the model development environment (MDE) in MATLAB can help you improve the pace of model development by using the code templates and a model builder scriptlet.

Model Development Environment (MDE)

  • Explore, develop, back-test, and document models and methodologies
  • Improve transparency and reproducibility of model development
  • Auto-generate model documentation and reporting

Model Review Environment (MRE)

  • Perform independent model reviews on the complete set of model artifacts
  • Interactively perform sensitivity analysis on model parameters
  • Comment and flag any aspects for response and resolution

Model Test and Validation Environment (MTVE)

  • Provide the environment for approved models to undergo preproduction testing and validation
  • Automatically run unit tests and generate test reports
  • Compare tests of a preproduction model against the currently deployed production model

Model Execution Environment (MEE)

  • Host production models and scale to end users in a secure controlled environment
  • Deploy models onto a production environment without translation
  • Integrate with existing technology infrastructures

Model Monitoring Dashboard (MMD)

  • Summarize model execution results using a configurable web dashboard
  • Explore data segments and configure alerts and threshold for automated monitoring