Dedicated and consistent documentation must be produced for each step of the model life-cycle. The documentation must be sufficiently comprehensive to ensure that an independent party has all the necessary information to assess the suitability of the modelling decisions. In particular, the documentation must make a clear distinction between theoretical considerations, calibration choices and practical implementation considerations.
4.9.2
All model documentation, model management policies and procedures must be an accurate reflection of the institution’s practice and usage. In other words, institutions must ensure that the model attributes described in a modelling document are actually implemented. Any gaps and partial implementation must be recorded, tracked and reported to Senior Management and the Board by the modelling stakeholders. Institutions must have a remediation plan in place to address each of these gaps within an appropriate timeframe.
4.9.3
Institutions must develop internal standards for model documentation across all model types, with rigorous document control. This requirement is particularly relevant for the development and the validation steps. The documentation must be adapted to the type of model, the business context and the step of the life-cycle. At a minimum, all model development documentation must include the following information:
(i)
Document control including the model reference, owners, contributors and key dates of each life-cycle step,
(ii)
Model materiality in relation to the institution’s risk profile,
(iii)
Overview of the model strategy, structure and expected usage,
(iv)
Data set description, when applicable,
(v)
Methodology and modelling choices related to all the key modelling decisions,
(vi)
Modelling assumptions, weaknesses and limitations,
(vii)
Expert judgement inputs if any,
(viii)
Impact analysis of the new modelling decisions, and
(ix)
Implementation process and timing of the new modelling decisions.