FMSB issues SoGP for applying model risk managment frameworks to algos

According to the FMSB, sophisticated modelling techniques used for calculating trading risk and required capital came under significant global regulatory scrutiny following the financial crisis as a result of their acutely revealed shortcomings in containing risk. As a result, regulatory guidance seeking to address the possible adverse consequences of decisions based on incorrect or misused models was issued. Yet while this guidance applies to all model types, including the use of models in algorithmic trading, the degree of model risk According to the FMSB, sophisticated modelling techniques used for calculating trading risk and required capital came under significant global regulatory scrutiny following the financial crisis as a result of their acutely revealed shortcomings in containing risk. As a result, regulatory guidance seeking to address the possible adverse consequences of decisions based on incorrect or misused models was issued. Yet while this guidance applies to all model types, including the use of models in algorithmic trading, the degree of model risk

According to the FMSB, sophisticated modelling techniques used for calculating trading risk and required capital came under significant global regulatory scrutiny following the financial crisis as a result of their acutely revealed shortcomings in containing risk. As a result, regulatory guidance seeking to address the possible adverse consequences of decisions based on incorrect or misused models was issued. Yet while this guidance applies to all model types, including the use of models in algorithmic trading, the degree of model risk