Featured Product

    OSFI Issues Final Guideline on Enterprise-Wide Model Risk Management

    September 13, 2017

    OSFI released the final version of the Guideline E-23 on Enterprise-Wide Model Risk Management. The guideline establishes OSFI’s expectations for institutions in managing and controlling the use of models, whether for regulatory capital determination, internal risk management, valuation/pricing, business decision-making, or stress testing. Standardized institutions, as defined in the guideline, will have until January 01, 2019 to become compliant with this guideline. All other institutions (that is, internal-models-approved institutions) are expected to comply with the guideline by November 01, 2017.

    The guideline has been revised to reflect comments received during the public consultation, which ended on February 28, 2017. Deposit-taking institutions are increasingly relying on models for not only regulatory capital determination but also for valuation and business decision-making purposes. Guideline E-23 aims to provide institutions with comprehensive and clear guidance and common standards for enterprise-wide model risk management. It also outlines prudent practices for internal model development, review, approval, use, and modification. This guideline applies to all models that have a material impact on the risk profile of an institution; for example, models used for regulatory capital determination, internal risk management, valuation/pricing, business decision-making, or stress testing purposes.

     

    This consultation had included targeted discussions with several foreign bank branches on the proposed scope of coverage. These discussions have led OSFI to exclude foreign bank branches from the scope of the guideline, since OSFI believes that it has the capacity to assess model risk management of these institutions within existing supervisory processes. A footnote to the guideline clarifies that the Principal Officer of a foreign bank branch is accountable for ensuring there are appropriate risk controls over model risk, where material. Annex 1 summarizes comments of substance that were received from stakeholders and explains how they have been addressed. 

     

    Related Links

    Letter

    Guideline E-23

    Guideline Impact Analysis Statement

    Effective Date: January 01, 2019

    Keywords: Americas, Canada, Banking, Enterprise Wide Risk Management, Guideline E-23, OSFI

    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