Episode 44: Model Risk Management
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The Prudential Regulation Authority’s supervisory statement (SS1/23) on model risk management principles for banks is due to take effect from 17 May 2024. Given that the statement was released in May 2023, banks have had some time to digest it, however careful consideration will be required to ensure that banks’ model risk governance, controls, policies, processes, and reporting meet the PRA’s expectations.
In this episode of Regulated Radio, Rod Hardcastle is joined by Deloitte Partner Ian Wilson to discuss the five key principles of SS1/23, the associated challenges banks face and how banks can minimise the costs of meeting these new expectations.
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Key questions discussed in the episode are:
- What are the five key principles of SS1/23?
- What are the key challenges banks face in implementing SS1/23?
- Banks need to create a model inventory.
- What are some of the challenges around completing the inventory and ensuring consistency of tiering across model types?
- What is the impact on insurance companies and smaller banks/building societies that aren’t currently included in the scope of the rules?
- What are the implications for AI models?
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