Featured Product

    PRA Consults on Model Risk Management Principles for Stress Testing

    December 06, 2017

    PRA published the consultation paper CP26/17, which sets out proposals to support effective practices in model risk management for stress testing. The consultation will close on March 06, 2018 while the proposed implementation date for the proposal in CP26/17 is June 01, 2018.

    A set of principles has been developed in the context of the annual concurrent stress testing process, which tests the resilience of the banking system and some of the largest firms within it. PRA proposes to embed these principles further for firms participating in the annual concurrent stress tests, while also extending them, in a proportionate manner, to the wider banking sector. PRA proposes that firms participating in the annual concurrent stress test of BoE should adopt the principles in full. In addition, firms not participating in the annual concurrent stress test of BoE should seek to apply the principles on a proportionate basis, taking into account their size, complexity, risk profile, and the relevance of using the stress test models. The principles are set out in a draft supervisory statement titled "Model risk management principles for stress testing." CP26/17 is relevant to PRA-authorized banks, building societies, and PRA-designated investment firms. Credit unions are not in scope and there is no proposal to extend the principles to insurance and reinsurance firms. 

    The primary objective of stress testing is to help regulators and firms assess capital positions under adverse economic conditions. This exercise allows regulators to help inform the setting of capital requirements for both micro-prudential and macro-prudential purposes. Banks are also increasingly using the results of stress tests to inform strategic and business decisions.

     

    Related Link: CP26/17 (PDF)

    Comment Due Date: March 06, 2018

    Effective Date: June 01, 2018

    Keywords: Europe, UK, Banking, Model Risk Management Principles, Stress Testing, PRA

    Featured Experts
    Related Articles
    News

    OCC Revises Minimum Threshold for Banks to Conduct Stress Tests

    OCC issued the final rule that amends its company-run stress testing requirements under the 12 CFR 46 in Code of Federal Regulations.

    October 10, 2019 WebPage Regulatory News
    News

    US Agencies Update Management Interlock Rules Under DIMIA

    US Agencies (FDIC, FED, and OCC) issued a final rule that increases the thresholds in the major assets prohibition for management interlocks for purposes of the Depository Institution Management Interlocks Act (DIMIA).

    October 10, 2019 WebPage Regulatory News
    News

    US Agencies Finalize Rules to Closely Match Bank Risk Profiles

    US Agencies (OCC, FED, and FDIC) finalized rules that tailor the regulations for domestic and foreign banks to more closely match their risk profiles.

    October 10, 2019 WebPage Regulatory News
    News

    CPMI-IOSCO and FSB on Governance Arrangements for OTC Derivatives

    CPMI and IOSCO published a report that identifies key criteria, functions, and bodies for the governance arrangements.

    October 09, 2019 WebPage Regulatory News
    News

    EIOPA Launches Field Test on Templates Under 2020 Solvency II Review

    EIOPA, as part of the 2020 Solvency II reporting and disclosure review, launched a field test on the revised and newly proposed reporting templates.

    October 09, 2019 WebPage Regulatory News
    News

    US Agencies Adopt Rule on Appraisals for Real Estate Transactions

    US Agencies (FDIC, FED, and OCC) adopted the final rule to amend regulations requiring appraisals of real estate for certain transactions

    October 08, 2019 WebPage Regulatory News
    News

    US Agencies Finalize Amendments to Simplify Volcker Rule

    US Agencies (CFTC, FDIC, FED, OCC, and SEC) finalized amendments to the regulations implementing section 13 of the Bank Holding Company Act, also known as the Volcker Rule.

    October 08, 2019 WebPage Regulatory News
    News

    EC Report Explores Application and Challenges of Blockchain Technology

    The Joint Research Center of EC published a report exploring the challenges and impact of distributed ledger technologies.

    October 08, 2019 WebPage Regulatory News
    News

    BIS and SNB Sign Agreement on Innovation Hub Center in Switzerland

    BIS and SNB signed an operational agreement on the BIS Innovation Hub Center in Switzerland.

    October 08, 2019 WebPage Regulatory News
    News

    ECB Issues Results of Sensitivity Analysis of Liquidity Risk for Banks

    ECB published results of 2019 stress test on sensitivity analysis of liquidity risk.

    October 07, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 3958