Firms should establish a robust board-level framework for model risk.
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: Download Ss123 2022 zip
A team independent from the model developers must perform a critical review of the model’s performance and assumptions. Firms should establish a robust board-level framework for
When models have known limitations, firms should use Post-Model Adjustments (PMAs) to account for latent risks. Implementation Timeline Download Ss123 2022 zip
Models must undergo rigorous testing during development to ensure they are fit for purpose.
Firms must maintain a complete inventory of all "models" in use.