Model Risk Management

Primary Objective

Independently validate RHB Banking Group’s models, rating systems and the estimation of risk components on a regular cycle to ensure:

• the Bank’s implementations of Basel II IRB and IFRS 9 models for Credit Risk, IMA for Market Risk as well as AMA for Operational Risk are in accordance to the regulatory standards;
• objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and
• models and risk estimates remain predictive, stable and risk sensitive.

Key Responsibilities

• To review the adequacy and effectiveness of rating system processes, oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers model design/rating systems documentation, data quality, governance and control as well as internal use of rating (Qualitative Validatio...