A designated Senior Management Function (SMF) must be accountable for the MRM framework.
A team independent from the model developers must perform a critical review of the model’s performance and assumptions. Download Ss123 2022 zip
Firms should establish a robust board-level framework for model risk. A designated Senior Management Function (SMF) must be
The PRA defines a as any quantitative method or system that applies theories and assumptions to process input data into output. Principle 2: Governance The PRA defines a as any quantitative method
Firms must maintain a complete inventory of all "models" in use.
When models have known limitations, firms should use Post-Model Adjustments (PMAs) to account for latent risks. Implementation Timeline
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: