Firms must maintain a complete inventory of all "models" in use.
Models must undergo rigorous testing during development to ensure they are fit for purpose. Download Ss123 2022 zip
The SS1/23 Supervisory Statement (published in May 2023, following consultations in 2022) focuses on five core principles to ensure firms identify, assess, and mitigate risks from quantitative models: Firms must maintain a complete inventory of all
When models have known limitations, firms should use Post-Model Adjustments (PMAs) to account for latent risks. Implementation Timeline Implementation Timeline While the statement was finalized in
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
Firms should establish a robust board-level framework for model risk.
A team independent from the model developers must perform a critical review of the model’s performance and assumptions.
