About report

For the second time now, the ING Bank Śląski S.A. Group has compiled the annual report in line with the best global practices of integrated reporting. To help readers use the interactive tools, we prepared a user guide with key features. We encourage you to watch a short animated video before reading the report.

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Model risk is managed in line with the Risk Model and Valuation Models Management Policy at ING Bank Śląski S.A. The Policy provides inter alia for the following:

  • model lifecycle,
  • principles of model materiality assessment,
  • principles of model register functioning,
  • capital computation principles for the model risk, and
  • validation principles.

Model risk management process

The Capital Management Department keeps the model register, which is a repository of information about the risk models and valuation models effective in the Group. The model register and logs read model materiality, model monitoring and validation results and their risk levels, among others.

The Group regularly assesses the risks of individual models and estimates corresponding economic capital as per internal regulations. The capital calculation manner in the case of identification of material or medium material models of high or increased risk is set out in the methodology of economic capital requirement calculation for the model risk.

Model performance quality is verified via model monitoring and validation in the course of which the degree of model risk exposure is assessed as well.

Models are validated in line with the Model Validation Policy at ING Bank Śląski S.A. and validation manuals.

Management reporting of the status of model management and validation actions to Committees, Management Board and Supervisory Board includes but is not limited to: model risk assessment and validation results, assessment of aggregated model risk in the context of adopted risk tolerance level, and also the actual model risk capital.

In 2017, the economic capital for the model risk stood at the zero level due to absence of identified high or increased risk models.

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