Large Bank Examination Workshop February 2026

Internally Developed Models • Key person or “hit by bus” risk  Resource redundancy  Cross training • Adequacy of documentation  Sufficient to support the execution of complete modeling cycles – input, processing, output – for a “short term” period of time • Recalibration of model if material changes in business lines, activities, or environment

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Third Party Vendor Issues • Includes data, parameter values, and complete models  Rate curves, default rates, prepayment speeds, etc. • Expertise is external to the user and because some components are considered proprietary. • Appropriate processes for selecting vendor models.  Evidence explaining the product components, design, and intended use, to determine whether the model is appropriate for the organization’s products, exposures, and risks. • Vendors should conduct ongoing monitoring and make appropriate modifications and updates over time.

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