Comprehensive model risk management program development

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PwC assisted a large foreign-owned banking institution to establish a comprehensive SR 11-7 compliant MRM program.

Client’s challenge

The US holding company of a large foreign bank needed help developing an MRM program consistent with US regulatory expectations.

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PwC’s solution

PwC helped the client develop a comprehensive MRM program and a broad range of supporting procedures, tools, and templates that would allow the client rapidly operationalize the framework. Specifically, in consultation with numerous stakeholders across the holding company’s different legal entities, PwC developed the following components of the MRM program:

  • MRM Policy,
  • Detailed MRM Standards and Procedures,
  • Separate detailed Model Validation Procedures,
  • Model Risk Management Committee Charter,
  • Tools and templates implementing the Policy and Procedures, including:

- Model Documentation Template;

- Model Identification Questionnaire;

- Model Inventory Template;

- Model Risk Rating Questionnaire / Tool;

- Templates supporting the independent model validation and annual review
   processes including the Pre-validation Checklist, Model Validation Workplan
   Template, Model Validation Report Template, Validation Observations Log
   Template, Annual Review Template, Validation Finding Tracking Template;

- Model Approval and Change Management Form

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Impact on client’s business

At the end of the engagement, the client possessed a comprehensive MRM program that reflected the unique aspects of the client’s structure and operations and all the tools and templates necessary to operationalize the program. In the course of the engagement, PwC invested significant amount of time into transferring our extensive MRM knowledge to different stakeholders within the client’s organization.

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How PwC can help your business

PwC’s model risk management practice offers a full range of Advisory services to assist you in identifying and managing the ​model ​risks associated with ​models used for risk management, valuation, and financial/regulatory reporting purposes.

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Jason Dulnev

Principal, Risk Analytics, PwC US

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