White Paper 4: Open Risk Model Taxonomy

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Abstract

We develop a taxonomy for risk models that aims to support an open source risk models framework. The proposal builds on and extends some commonly used risk taxonomies within financial services firms but introduces some significant new elements.

We first review the motivation for risk taxonomies, the concepts and tools that are involved and some of the weaknesses of current schemes. We try also to clarify the link between risk models and risk taxonomies.