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1、ValidationofEconomicCapitalModels:StateofthePractice,SupervisoryExpectationsandResultsfromaBankStudyMichaelJacobs,Ph.D.,CFASeniorFinancialEconomist/CreditRiskAnalysisDivisionU.S.OfficeoftheComptrolleroftheCurrencyRiskConferenceonEconomicCapital,NYC,February2010Theviewsexpressedhereinarethoseoftheau
2、thoranddonotnecessarilyrepresenttheviewsoftheOfficeoftheComptrolleroftheCurrencyortheDepartmentoftheTreasury.OutlineIntroduction,BackgroundandMotivationFitnessforUseofEconomicCapital(EC)ModelsProvidingConfidenceRegardingECModelAssumptionsAssessingtheValueofValidationMethodologiesQualitativeApproach
3、esQuantitativeApproachesSupervisoryConcernsandExpectationsLimitationsofValidationEffectiveReportingofModelOutputsTechnicalChallengesinTestingtheAccuracyofECModelsAssessingAccuracyintheTailsoftheLossDistributionExample:AlternativeModelsforRiskAggregationIntroduction,BackgroundandMotivationThevalidat
4、ionofECmodelsisataverypreliminarystageInternalcapitaladequacyassessmentprocess(ICAAP):notamodelforEC,butanoverallframeworkforassessingifECisappropriateECmaybeaquantitativecomponentofICAAP,butitisnotrequiredofallbanksbysupervisors(onlythelargest)ValidationofthequantitativeECcomponentofICAAP,iftherei
5、sone,isacomponentofICAAPECmodelscanbecomplex,havingmanycomponents,anditmaynotbeimmediatelyobviousthatasuchmodelworkssatisfactorilyModelsmayembodyassumptionsaboutrelationshipsamongstorbehaviorofvariablesthatmaynotalwayshold(e.g.,stress)Validationcanprovideadegreeofconfidencethatassumptionsareappropr
6、iate,increasingtheconfidenceofusersinthemodeloutputsAdditionally,validationcanbealsousefulinidentifyingthelimitationsofECmodels(i.e.,whereembeddedassumptionsdonotfitreality)Introduction,BackgroundandMotivation(continued)Thereexistsawiderangeofvalidationtechniques,eachprovidingevidenceregardingonlys
7、omeofthedesirablepropertiesofamodelSuchtechniquesarepowerfulinsomeareas(risksensitivity)butnotinothers(accuracyofabsoluteECorquantileestimator)Arangeofvalidationtechniquescanprovidemoresubstantialevidencefo
