Capital Markets Examiner School, Providence, RI

SR 11-7: Guidance on Model Risk Management

• April 4, 2011

• Between the Federal Reserve and Office of the Comptroller of the Currency

• Should be applied as appropriate to all banking organizations supervised by the Federal Reserve, taking into account each organization’s size, nature, and complexity, as well as the extent and sophistication of its use of models

Model Risk Management

• Even though 11-7 applies to all banks, typically only applied to largest banks

• Most banks do not own models, even though most (all) banks use models

• Model Development, Implementation, and Use

• Validation and Governance