IFRS 9 Governance & Model Risk Management Framework

 

https://docs.google.com/document/d/1jWVuYvUb7Eh3lbFAg0gUoXp7ur8EWb6w/edit?usp=drive_link&ouid=115594792889982302405&rtpof=true&sd=true

Technical overview of an IFRS 9 Model Risk Management Framework covering key governance and validation practices across the model lifecycle.

The Doc discusses:

• Model governance, ownership, and lifecycle management
• Performance monitoring using PSI, PD drift, ECL drift, and stage migration analysis
• Validation metrics including Gini, KS, Calibration Error, Backtesting, and Stability Monitoring
• Materiality assessment for distinguishing monitoring breaches from model impairment
• Recalibration triggers, root cause analysis, and governance-driven escalation
• Alignment with SR 11-7 principles for model governance, independent validation, documentation, and change management

The objective is to provide a structured governance approach that supports robust model monitoring, regulatory compliance, and informed model risk management decisions.