The document proposes a six step process to ensure a thorough and consistent approach to the review exercise. The guidance was produced by a workstream of industry practitioners led by Barney Wanstall of Chubb Europe (previously at PwC) and Russell Ward from Milliman.
IMIF Chairman Phil Whittingham FIRM, Head of Model Validation and Risk Governance at XL Catlin, explained, Our research has determined that there has been significant progress across the market already in establishing how these reviews should be conducted and our guidance draws together existing best practice on the subject. As well as improving model accuracy, understanding exactly where profit and loss occurs across lines of business has the potential to become a valuable risk management tool and will also underpin confidence in the strategic plan and in the interaction between the model and the business. Engagement at board level with this process is crucial if boards are to truly understand the risk profile of their organisation.
The guidance document is available from the IRM’s website
IMIF publications are generously sponsored by EY, LCP, Milliman and PWC.