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SYMBOL

SYstemic Model of Banking Originated Losses

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Quality & Transparency

Quality

Model uncertainties

Models are by definition affected by uncertainties (in input data, input parameters, scenario definitions, etc.). Have the model uncertainties been quantified? Are uncertainties accounted for in your simulations?

yes
We make use of Montecarlo simulations. Experiments with bootstrapping have been made.

    Sensitivity analysis

    Sensitivity analysis helps identifying the uncertain inputs mostly responsible for the uncertainty in the model responses. Has the model undergone sensitivity analysis?

    yes
    Sensitivity analysis has been applied on the correlation factor, to different levels of capital and RWA.

      Have model results been published in peer-reviewed articles?

      yes

        Has the model formally undergone scientific review by a panel of international experts?

        Please note that this does not refer to the cases when model results were validated by stakeholders.

        yes
        In 2018 the model was reviewed by an external panel of experts, organised by the European Commission's Competence Centre on Modelling (CC-MOD), described in Hordijk et al: Review of the SYMBOL model, Publications Office of the European Union, doi:10.2760/607271

          Model validation

          Has model validation been done? Have model predictions been confronted with observed data (ex-post)?

          no
          Not possible as it refers to historical data and the model is calibrated on historical events

            Transparency

            To what extent do input data come from publicly available sources?

            This may include sources accessible upon subscription and/or payment

            Entirely based on publicly available sources

            Is the full model database as such available to external users?

            Whether or not it implies a specific procedure or a fee

            no
            Not possible as coming from a commercial database.

              Have model results been presented in publicly available reports?

              Note this excludes IA reports.

              yes

              Have output datasets been made publicly available?

              Note this could also imply a specific procedure or a fee.

              yes
              Several scientific papers and policy reports have been published with SYMBOL results aggregated per MS.

                Is there any user friendly interface presenting model results that is accessible to the public?

                For instance: Dashboard, interactive interfaces...

                no

                  Has the model been documented in a publicly available dedicated report or a manual?

                  Note this excludes IA reports.

                  yes
                  Documentation is available to the general public.

                  Is there a dedicated public website where information about the model is provided?

                  yes

                  Is the model code open-source?

                  no

                  Can the code be accessed upon request?

                  no