While the statement was finalized in 2023, the foundation was laid in through the CP6/22 Consultation Paper. Most firms were expected to have implemented these principles by May 2024. SS1/23 – Model risk management principles for banks
A designated Senior Management Function (SMF) must be accountable for the MRM framework. Download Ss123 2022 zip
When models have known limitations, firms should use Post-Model Adjustments (PMAs) to account for latent risks. Implementation Timeline While the statement was finalized in 2023, the
A team independent from the model developers must perform a critical review of the model’s performance and assumptions. Download Ss123 2022 zip
The PRA defines a as any quantitative method or system that applies theories and assumptions to process input data into output. Principle 2: Governance