Model Performance Monitoring
Автор: Dimitri Bianco
Загружено: 2023-04-16
Просмотров: 3161
On-going Performance Monitoring (OPM) is a critical part of developing and using models. In this video I explain how to select metrics both for overall model performance as well as detailed metrics to address model specific risks. How to select the frequency of monitoring these metrics and how to set thresholds. In the banking industry we use RAG (Red, Amber, Green) ranges for our thresholds and a breach into Amber or Red has an action plan.
Banks are ahead of managing risks from models as they have implemented Model Risk Management (MRM) teams. These teams have a group called "validation" which review model development and challenge the decisions that were made.
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