This PS is relevant to PRA-authorised banks, building societies and PRA-designated investment firms (‘firms’). The PS is not relevant to credit unions and there is currently no proposal to extend the policy to insurance and reinsurance firms.
The PRA received three responses to the proposals in CP26/17. Respondents were supportive of the model risk management principles for stress testing, but also asked for further clarification, guidance and alternative wording in some areas. The PRA’s feedback to responses, and decisions, are set out in Chapter 2.
The expectations in SS3/18 will take effect from Friday 1 June 2018.
All firms applying the principles are expected to undertake a self-assessment of their stress test model risk management practices against the principles as part of the Internal Capital Adequacy Assessment Process (ICAAP) and report the findings in the ICAAP documents from Tuesday 1 January 2019 onwards, depending on the frequency of the Supervisory Review and Evaluation Process (SREP).
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