Abstract: Apparatus and methods for automated model restriction verification are provided. Apparatus and methods may include introducing a dictionary of terms with respect to which a restriction imposed on a trade may be formulated. Illustrative restrictions may include a payoff currency of the trade must be in a G7 currency or a time to maturity of a trade must be at most 7 years. Apparatus and methods may utilize lexical items to formulate a formula expressing the restriction. Apparatus and methods may automatically parse the formula in response to receiving a trade. Apparatus and methods may include defining lexical items using technical function calls. Apparatus and methods may include formulating a restriction using a lexical item, and verifying syntactical correctness using sample values. Apparatus and methods may include automated verification of the restriction to assert adherence to restriction.

Abstract: Apparatus and methods for model risk rating are provided. Model risk rating may include rating models on a scale of low potential risk, medium potential risk, high or critical potential risk. Model risk rating may include performing an assessment of model-application pairs. The assessment may include evaluating model complexity, application complexity, materiality of model use and model limitations and uncertainties. The model limitations and uncertainties may be weighted by severity. Mitigations to a model limitation may be taken into account. Apparatus and methods allow for aggregating model risk scores. A ranking of models may be determined based on the model risk scores. Scoring thresholds may be defined based on criteria of inherent potential risk, potential risk of financial losses and severity of model limitations. Based on these thresholds, each model may be classified as low potential risk, medium potential risk, high or critical potential risk.

Abstract: Apparatus and methods for model risk rating are provided. Model risk rating may include rating models on a scale of low potential risk, medium potential risk, high or critical potential risk. Model risk rating may include performing an assessment of model-application pairs. The assessment may include evaluating model complexity, application complexity, materiality of model use and model limitations and uncertainties. The model limitations and uncertainties may be weighted by severity. Mitigations to a model limitation may be taken into account. Apparatus and methods allow for aggregating model risk scores. A ranking of models may be determined based on the model risk scores. Scoring thresholds may be defined based on criteria of inherent potential risk, potential risk of financial losses and severity of model limitations. Based on these thresholds, each model may be classified as low potential risk, medium potential risk, high or critical potential risk.