Model Risk

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)