Model Risk Management with Modelscape

Manage financial models throughout a lifecycle across multiple domains and programming languages

Modelscape™ provides workflow tools for model lifecycle support including governance, automation, documentation, and operation in a unified, customizable system. Use Modelscape if you have a role related to model development and deployment in financial services.

Modelscape provides workflow tools for creating, documenting, validating, deploying, and managing models and associated data. Modelscape supports models you build in MATLAB^®, Python^®, R, SAS^®, and other programming languages.

To host Modelscape for your organization, contact MathWorks Consulting Services. After you have set up Modelscape, to use it in MATLAB, download the Modelscape for MATLAB support package using the Add-On Explorer.

Topics

Get Started with Modelscape
Learn the basics of Modelscape.
Modelscape Governance
Manage model inventory, risk scoring, workflows, and reporting.
Modelscape Develop
Develop models with automated documentation and reproducible processes.
Modelscape Validate
Validate models in an interactive environment and perform scenario analysis, issue tracking, and approval tracking.
Modelscape Test
Perform automated preproduction build and test with traceability.
Modelscape Deploy
Host and scale production models in a secure, controlled environment.
Extensibility
Customize Modelscape environment.
Using the Modelscape API
Work programmatically with Modelscape resources such as lifecycles, model versions, and reviews.

Functions

`mrm.execution.checkModel`	Check Modelscape model validity (Since R2023a)
`mrm.execution.compiler.packageModel`	Create Docker image of Modelscape model (Since R2023a)
`mrm.execution.compiler.buildDeployableArchive`	Create deployable archive of Modelscape model (Since R2023b)

Apps

Inventory Browser	Create Modelscape models and add dependencies (Since R2023a)
Lifecycle Designer	Create and edit lifecycles in Modelscape (Since R2023a)
Review Editor	Validate Modelscape models and submit reviews (Since R2023a)

Live Editor Tasks

Remove Risk Factors	Remove or include data and record reasons in Modelscape (Since R2021b)
Screen Risk Factors	Remove risk factors from data in Modelscape (Since R2021b)

Featured Examples

Model Development and Experiment Manager

Use Experiment Manager with Modelscape™ at different stages of model development.

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Remove Risk Factors

Remove or include variables from a table and record the corresponding reasons using the Modelscape™ Remove Risk Factors task.

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Fairness Metrics in Modelscape

Detect bias in a credit card data set using a suite of metrics in Modelscape™ software. The metrics are built on the fairnessMetrics object.

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Screen Risk Factors by Custom Criteria

Use the Screen Risk Factors task to automatically exclude risk factors from a table based on their predictive power. The example also shows how to set up the screening criteria.

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Model Documentation in Modelscape

Add content to a Microsoft® Word document from MATLAB®.

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Metrics Handlers

Manage Modelscape™ test metrics and their associated threshold objects using MetricsHandler objects.

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Credit Scorecard Validation Metrics

Implement a probability of default (PD) model validation suite covering the techniques laid out in [1]. The techniques in [1] apply to any PD model. In this example, you load the test data, set and compute some key quantities, and calculate some model validation metrics. The results are stored in a collection object. You use the PDModel data set, which consists of a pre-fitted MATLAB® credit scorecard object. You then compute various metrics and summarize them.

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Validation of Credit Models in ECB Templates

Fill in the European Central Bank (ECB) model validation templates using Modelscape™ software.

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Validation of External Models

Validate models existing outside of MATLAB® using Modelscape™ software. An external model can be implemented in Python®, R, SAS®, or it can be a MATLAB model deployed on a web service.

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File Attachments in Modelscape Review Editor

Attach files to reviews using the Review Editor app in the Modelscape™ Review Environment (MRE).

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Customization of Signoff Forms in Review Editor

Customize review signoff forms for Review Editor app in the Modelscape™ Review Environment (MRE).

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Model Implementation for Modelscape Deploy

Use the Modelscape™ Deploy™ software.

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Customizing Model Inventory: Risk Tiering

Customize the model inventory to hold information specific to your organization.

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Test Metrics in Modelscape

Implement test metrics in MATLAB® using Modelscape™ software.

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Modelscape Review Editor and Validation Templates

Create reuseable code snippets in Modelscape Review Editor using custom Live Editor tasks.

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