Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JSF
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Structured Finance
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a demo
  • Log in
The Journal of Structured Finance

The Journal of Structured Finance

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JSF
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Shouldn’t a Model “Know” Its Own ID?: Banks Can Significantly Improve Their Model Discipline by Embedding One Critical Piece of Information

Jon R. Hill
The Journal of Structured Finance Fall 2018, 24 (3) 89-98; DOI: https://doi.org/10.3905/jsf.2018.24.3.089
Jon R. Hill
is the former global head of model governance at Credit Suisse and the former global head of risk model validation at Morgan Stanley in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The unique IDs that firms assign to all important models typically appear in just three places: model documents, validation documents, and model inventory databases. Where the IDs do not, as a rule, appear is within the actual model source code. Incomplete model inventory information (including usage) is a chronic issue throughout the financial industry. Few firms can accurately answer such vexing questions as how many times each model in inventory was executed during the last year, which models exhibit significant seasonality, which models are used in each geographic region or legal entity, or whether any unvalidated models were used during the last year on any firm computer. This article will demonstrate that a root cause of model usage opacity is, unfortunately, that most models do not actually know who they are. This article will further explain how software-embedded model IDs can be leveraged to increase transparency and address some of the most difficult questions that may be posed about model usage.

  • © 2018 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Structured Finance: 24 (3)
The Journal of Structured Finance
Vol. 24, Issue 3
Fall 2018
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Structured Finance.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Shouldn’t a Model “Know” Its Own ID?: Banks Can Significantly Improve Their Model Discipline by Embedding One Critical Piece of Information
(Your Name) has sent you a message from The Journal of Structured Finance
(Your Name) thought you would like to see the The Journal of Structured Finance web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Shouldn’t a Model “Know” Its Own ID?: Banks Can Significantly Improve Their Model Discipline by Embedding One Critical Piece of Information
Jon R. Hill
The Journal of Structured Finance Oct 2018, 24 (3) 89-98; DOI: 10.3905/jsf.2018.24.3.089

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Shouldn’t a Model “Know” Its Own ID?: Banks Can Significantly Improve Their Model Discipline by Embedding One Critical Piece of Information
Jon R. Hill
The Journal of Structured Finance Oct 2018, 24 (3) 89-98; DOI: 10.3905/jsf.2018.24.3.089
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LIABILITIES OF MODEL INVENTORY RISK
    • THE ROOT CAUSE OF INVENTORY RISK MAY BE THIS: MODELS DO NOT “KNOW” THEIR OWN IDS6
    • IMPLEMENTATION
    • VALUE ADDED
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1551-9783 | E-ISSN: 2374-1325

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy