streamlining financial modeling - matlab & simulink · streamlining financial modelling: from...
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1© 2018 The MathWorks, Inc.
Streamlining Financial Modelling:
From Development to Approval to Production
with MATLAB
David Sampson
MathWorks
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Workflows
• How they work
• Why they work
Technology
• Environment
• Toolboxes
• Integrations
Landscape
• Requirements
• Challenges
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Workflows
• How they work
• Why they work
Technology
• Environment
• Toolboxes
• Integrations
Landscape
• Requirements
• Challenges
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Model risk management regulations
2000
OCC 2000-16First regulatory definition of models and risk
2006
CEBS GL10Basel 2, new validation requirements
2011
OCC/FED SR11-7First comprehensive supervisory guidance on model risk management
2013-14
CRDIV – CRR
EBA SREP
CP/2014/14
Model risk integrated as part of Pillar 2 (Europe)
2016
TRIM
RTS2016/03
3 Lines of Defence
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Risk Management
Definition
Framework
Development
Review
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Regulator requirements
Risk Management
Definition
Framework
Development
Review
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Definition
Development
ValidationApproval
Deployment
Monitoring
Backtesting
Alerts
Inventory
Scope
Internal
Independent
Management
Regulator
Integration
Testing
Assumptions
Limitations
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Institution challenges
Definition
Development
ValidationApproval
Deployment
Monitoring
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Workflows
• How they work
• Why they work
Technology
• Environment
• Toolboxes
• Integrations
Landscape
• Requirements
• Challenges
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In the beginning…
Read more at
Cleve's Corner
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Desktop
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Editor Debug
me!
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Toolboxes
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Documentation Browser
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Variable Editor
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Live Editor
Change
me!
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Apps
Generate
code!
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Toolbox Packaging
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Report Generator
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Parallel
▪ High-level: parfor, gpuArray
▪ Low-level: batch, createJob, createTask
▪ Big data: tall, mapreduce
GPU
Multi-core CPU
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Enterprise integration
Preprocess DataDevelop Predictive
Models
Integrate Analytics
with Systems
MATLAB
MDCS
Request
Broker
MATLAB Production Server
Azure
IoT Hub
PI System
AWS
Kinesis
Azure
Blob
PI System
Databases
Cloud Storage
Cosmos
DB
Big Data / OT
Access and Explore
Data
Streaming
OT Platforms
Dashboards
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Workflows
• How they work
• Why they work
Technology
• Environment
• Toolboxes
• Integrations
Landscape
• Requirements
• Challenges
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Integrate Analytics
with Systems
Desktop Apps
Enterprise Scale
Systems
Embedded Devices
and Hardware
Files
Databases
Sensors
Access and Explore
Data
Develop Predictive
Models
Model Creation e.g.
Machine Learning
Model
Validation
Parameter
Optimization
Preprocess Data
Working with
Messy Data
Data Reduction/
Transformation
Feature
Extraction
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Data preparation
Assemble a sufficient volume of clean data of known provenance.
>> importdata
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Model generation
Create models with the required accuracy and reach, while driving insight.
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Documentation generation
Generate an accurate, insightful description of the study in a timely manner.
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Model review
Provide an accurate, thorough view of the study that allows others to engage.
Documents
Models
Examples
Toolbox code
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Provide approved, accurate, current models for use throughout the business.
Model deployment
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