Multi-framework Review

Question 1

Model Life Cycle

Answer 1

1. R&D
2. Model implementation
3. Post implementation

Question 2

Model development documentation: Executive Summary

Answer 2

Purpose/benefit
Any limits/weaknesses
List of key personnel
Model structure/features
Modeling approach (high level descr)

Question 3

Model development data

Answer 3

If external data used - why relevant?
Any limits
Data dictionary, data sources
How multiple sources were combined and how data was filtered
Details of sampling
Description of data and segmentation, cleaning of data

Question 4

Implementation documentation

Answer 4

Computer code annotation
User's guide and operating procedures
Business continuity planning
Implementation testing doc
Technical specifications

Question 5

Vendor model documentation

Answer 5

How vendor model is applicable
Ongoing model performance testing
Results of validation/testing
Rationale for inclusion/exclusion of data
Any customization

Question 6

Accounting Model Criteria

Answer 6

Use inputs from active markets when available
Consistent accounting model for all contracts
Consistency …
- between exit and entry methods
- of unit of account
- with pricing methods
- with other accounting methods