Model Risk

Policies relating to model risk for banks, building societies and investment firms.

Supervisory Statements and Statements of Policy

  • Internal Ratings Based (IRB) Approaches (SS11/13)
  • Counterparty Credit Risk (SS12/13)
  • Market Risk (SS13/13)
  • Model Risk Management Principles for Stress Testing (SS3/18)
  • Algorithmic Trading (SS5/18)
  • Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process (SREP) (SS31/15, in particular para 2.6) 
  • The PRA’s methodologies for setting Pillar 2 capital (Statement of Policy, in particular para 2.5, 3.5, 3.8, 5.4, 5.19, 5.22 and 9.43)
 

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This page was last updated 31 January 2023