Agentic AI Systems Applied to tasks in Financial Services: Modeling and model risk management crews

TL;DR

This paper presents the development of agentic AI crews with human-in-the-loop modules for complex modeling and model risk management tasks in financial services, demonstrating their effectiveness through numerical examples.

Contribution

It introduces novel agentic crews with human-in-the-loop components for modeling and MRM in finance, showcasing their application to real-world datasets.

Findings

Effective collaboration of agentic crews in financial modeling tasks

Robustness demonstrated across multiple credit risk datasets

Improved compliance and documentation processes

Abstract

The advent of large language models has ushered in a new era of agentic systems, where artificial intelligence programs exhibit remarkable autonomous decision-making capabilities across diverse domains. This paper explores agentic system workflows in the financial services industry. In particular, we build agentic crews with human-in-the-loop module that can effectively collaborate to perform complex modeling and model risk management (MRM) tasks. The modeling crew consists of a judge agent and multiple agents who perform specific tasks such as exploratory data analysis, feature engineering, model selection/hyperparameter tuning, model training, model evaluation, and writing documentation. The MRM crew consists of a judge agent along with specialized agents who perform tasks such as checking compliance of modeling documentation, model replication, conceptual soundness, analysis of outcomes, and writing documentation. We demonstrate the effectiveness and robustness of modeling and MRM crews by presenting a series of numerical examples applied to credit card fraud detection, credit card approval, and portfolio credit risk modeling datasets.