Non-Model Framework
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Hello RiskbOWl community,
talking to various MRM teams around the globe, the regulatory focus on non-models seems to be getting larger, either triggered via new formal regulation (such as PRA SS1/23 in the UK) or via supervisory comments by Fed / PRA / ECB / etc.
The formal criteria on how to define non-models are fairly clear, however, one discussion point which comes up over and over again, how are different banks identifying the inventory of non-models in an efficient way without boiling the ocean. For example, going through the full list of usually over 10,000 EUCs and checking which ones should be included as non-models within the MRM scope seems a very time consuming task. On the other side, trying to define the non-models in a top-down way risks that not all material non-models are identified.
Hence, my question, how are you identifying non-models which are in scope of MRM? Any pragmatic ways to help the community on this rather new topic?
Thanks,
Marcel