Capital Markets School

Internal Use Only

Model Identification & Inventory

Model Definition: •A quantitative method, system, or approach that applies statistical, economic, financial, or mathematical theories, techniques, and assumptions to process input date into quantitative estimate. (SR 11-7) •Also covers quantitative approaches whose inputs are partially or wholly qualitative or based on expert judgement, provided that the output is quantitative in nature.

Internal Use Only

Model Identification & Inventory Tool Definition: •Comptroller’s Handbook on Model Risk Management states: “In contrast to a model, a quantitative tool not meeting the definition of a model described in the MRM Supervisory Guidance may apply deterministic rules or algorithms to process information and produce outcomes defined by the deterministic rules.” •“For example, a tool can include spreadsheet calculations using algebraic formulas, such as summation, or values for which the output is certain.”