WFC Classic: Model Risk, Credit Risk, Interest Rate Risk, ERM & More
Summary
Mark Treichel interviews Todd Miller on model, interest rate, and credit risk management for credit unions. They discuss mitigating model risk through inventorying and stress testing, noting that models are often "precisely wrong." The episode highlights how COVID surge deposits distorted assumptions and emphasizes the need for integrated risk management and informed conservatism.
Topics discussed
Introduction and overview of model risk discussion
Inventorying and categorizing models for risk mitigation
Informed conservatism and challenging model assumptions
Using scenario analysis to identify concentration risk
Impact of surge deposits and low rates on ALM models
Reversion to the mean in non-maturity share behavior
Inflation's effect on deposit growth and loan pricing
Uninsured deposits: Banks vs. Credit Unions
Case studies on the impact of large depositors
Interest rate risk takeaways and integrated risk management
Conclusion and call to action
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