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Measuring and Managing COVID-19 Model Risk

Author

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  • Mark J. Jensen

Abstract

One of the many lessons learned from the financial crisis is the increased awareness of model risk. In this article, I apply the best practices of model risk management found in SR 11-7 (which offers regulatory guidance on the best practices for managing model risk) to COVID-19 models. In particular, I investigate the Institute of Health Metrics and Evaluation's (IHME) model to see if it has been effectively challenged with a critical assessment of its conceptual soundness, ongoing monitoring, and outcomes analysis.

Suggested Citation

  • Mark J. Jensen, 2020. "Measuring and Managing COVID-19 Model Risk," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2020(7), pages 1-12, June.
    • Handle: RePEc:fip:a00068:99139
    DOI: 10.29338/ph2020-07
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    More about this item

    Keywords

    COVID-19; model risk management; SR 11-7;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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