The UK’s Model Risk Management Principles for Banks

June 8, 2023

Against a background of increasing reliance on models and scenario analysis to assess future risks, the UK’s bank regulator, the Prudential Regulation Authority (“PRA”), has published a supervisory statement on “Model risk management principles for banks” (“SS1/23”). SS1/23 applies to UK banks, building societies and larger PRA-designated investment firms that use internal models to arrive at regulatory capital requirements for credit, market or counterparty credit risk. The PRA considers that other firms, including third-country firms operating in the UK through a branch, may find the contents “useful” and invites their participation. 

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