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Maximising independent model validation effectiveness for Aegon

Engh, G.W.F. van den (2019) Maximising independent model validation effectiveness for Aegon.

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Abstract:Model risk management is experiencing an increase in focus from financial services regulators. Setting up an independent model validation process enables firms to manage model risk. Aegon is looking for ways to increase the model validation time effectiveness and/or decrease the model validation time in a proper way for models holding a 'medium model risk'. We have found 5 methods that reach this goal. Of which a more data-dependent manner using supervised learning techniques can be used for predicting model risk. Although we do not succeed in implementing this tool on short term notice, we believe that this method enables Aegon increase their model risk management process long term.
Item Type:Essay (Master)
Clients:
Aegon, Den Haag, Nederland
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:01 general works
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/79404
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