Regulators are starting to analyse (or at least they are talking about it) model assumptions. We all know that too often our assumptions are just in the model documentation. Furthermore, we have no standard language for talking about assumptions. Indeed a given assumption within an organization that applies to more than one model may be described different by different developers – so at first sight it is not evident that it is the same assumption.

Does anybody have views of standard language for assumptions (is there a catalogue). Does anyone have examples whereby the same assumption is referred to in many ways? Your views on this topic would be appreciated.


  • $\begingroup$ Just to clarify: do you mean market models, and so assumptions about the markets? $\endgroup$ – Ilya May 31 '13 at 12:33
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    $\begingroup$ What kind of models? And which regulators? $\endgroup$ – chrisaycock May 31 '13 at 13:33
  • $\begingroup$ I mean risk (quant models) it could be for market risk, credit risk, counterparty risk etc. The UK (PRA) and FSB are taking about enhanced disclosures around models that are used to calculate regulatory capital - some of these are assumptions and limitations around models. $\endgroup$ – William May 31 '13 at 14:54
  • $\begingroup$ William I am working on a similar question for insurance capital models, and have looked across to work on financial models for material. I have also not found taxonomies of assumptions or standard language with regards to finance models but there is some relevant work done in logic / critical reasoning, philosophy of science / philosophy of modelling, IT systems analysis, assumption analysis in policies and projects, and military planning which we are mining for a starting point. This may be too remote for you but happy to share some relevant articles we found so far and as we progress. I wou $\endgroup$ – user5503 Jun 7 '13 at 9:12

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