2019

Jan 24 London

Changing Model Risk Management expectations in Europe and the UK


Summary

 

CRISIL GR&A hosted an industry discussion on changing Model Risk Management (MRM) expectations in the Europe and UK due to the advent of new regulatory requirements and proposals such as TRIM, EBA's New Default Definition, FRTB and PRA's PS 7/18. The roundtable covered discussions around the following:

 

  • Convergence of MRM regulatory expectations in Europe and the UK to SR 11-7 MRM standards
  • Redevelopment and validation challenges of credit risk IRB models due to New Default Definition
  • TRIM inspections, lessons learnt and how banks are planning the next steps
  • New and increased demand of IMA models and stress testing models validation driven by FRTB and PS 7/18 respectively
  • Leveraging Automation and Machine Learning to accelerate and enhance the model development and validation processes

Key Findings



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