2.4 Scope of Models
| 2.4.1 | The MMS applies to all types of models employed by institutions to support decision-making. Therefore it covers, amongst others, risk models, pricing models and valuation models. The scope of the MMS includes, at a minimum, the non-exhaustive list in Table 1 below, that represents the most commonly employed model types in UAE institutions. | |
Table 1: List of most commonly employed model types in UAE institutions | ||
| Field | Model Type | Field | Model Type | |
| Credit risk | Rating and scorecard models | Stress Testing (ST) | Credit risk ST | |
| Score-to-PD models | Market risk ST | |||
| LGD models | Counterparty risk ST | |||
| Provision computation for credit ris | PIT PD term structure models | Liquidity risk ST | ||
| PIT LGD models | Other types of ST models | |||
| PIT EAD models | Operational risk | Ops risk scorecards | ||
| ECL models | Ops risk capital models | |||
| Macro models | Pricing and finance | Derivative pricing models | ||
| Market risk | VaR and related models | Bond pricing models | ||
| Valuation models | RAROC models | |||
| Counterparty risk | Exposure models | NPV models | ||
| xVA models | Asset and Liability Management | EVE models | ||
| Capital management | Capital forecasting models | EAR and NII models | ||
| Concentration models | Liquidity risk models | |||
| Funding cost models | Business management | Artificial Intelligence | ||
| Economic capital models | Budgeting, forecasting | |||
| AML | Fraud alert and other models | Marketing models |