Beyond 'Model Risk'
Model risk is commonly understood as the potential for adverse consequences from decisions based on incorrect or misused models. However, the deep uncertainties and organisational complexities characterising insurance business cannot be readily accommodated by this definition. As a consequence, practical implementation of model risk management frameworks faces substantial challenges.
A. Tsanakas will first discuss the ways in which different cultures of model use co-exist within organisations, reflecting diverse perspectives of stakeholders on modelling, uncertainty, and decision-making. Second, he will give an overview of technical sensitivity analysis tools that allow modellers to develop a deeper understanding of the uncertainties that permeate their work. Third, he will present on-going empirical research (with Laure Cabantous) on the use of internal capital models in the London Insurance Market, based on in-depth interviews with insurance practitioners.
A more detailed abstract and references can be found here.
Registration from 15:30. Parkings are available near the NBB (e.g. Q-Park Pacheco)