🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.

Scope & reliance — Scoring logic reflects Federal Reserve SR 11-7 (April 2011) and OCC 2011-12 as implemented through examination practice. Scores are self-assessment indicators, not substitutes for a formal internal audit or examiner review. Large bank holding companies subject to CCAR should apply additional SR 15-18 / SR 15-19 expectations. Verify all guidance citations against current primary sources.

Rating Scale: 0: Not in place 1: Ad hoc / informal 2: Partial / developing 3: Mostly compliant 4: Fully compliant

Domain 1 Model Development & Implementation Weight: 30%

Conceptual soundness documentation — theoretical basis documented and peer-reviewed before deployment

SR 11-7 §I (Conceptual Soundness)

Data quality processes — input data validated for completeness, accuracy, and relevance; gaps documented

SR 11-7 §I (Data Quality)

Model testing — back-testing, benchmarking against alternative models, and sensitivity analysis performed

SR 11-7 §I (Testing)

Assumptions documented — all material assumptions identified, stress-tested, and justified with quantitative or qualitative support

SR 11-7 §I (Assumptions)

Ongoing monitoring — model performance tracked post-deployment against performance benchmarks; deterioration triggers remediation

SR 11-7 §III (Ongoing Monitoring)

Change management — material model changes (methodology, data, use) follow a formal change process with documentation and re-validation

SR 11-7 §I (Change Management)

Vendor model oversight — third-party and vendor models subject to same MRM standards as internally developed models

SR 11-7 §IV (Vendor Models)

Inventory completeness — all models formally identified and tracked in a central inventory accessible to model risk and senior management

SR 11-7 §IV (Model Inventory)

Domain 2 Model Validation Weight: 35%

Validation independence — validators are organisationally independent of model development team; no significant self-review

SR 11-7 §II (Independence)

Conceptual review — validation independently evaluates the theoretical basis, methodology, and mathematical derivation of the model

SR 11-7 §II (Conceptual Soundness Review)

Outcomes analysis — validation compares model outputs to actual outcomes through back-testing, benchmarking, or challenger model analysis

SR 11-7 §II (Outcomes Analysis)

Sensitivity testing — validation tests model performance under stressed scenarios and edge cases to assess robustness

SR 11-7 §II (Sensitivity Analysis)

Documentation review — validation reviews and issues a written opinion on all model documentation including assumptions, limitations, and intended use

SR 11-7 §II (Documentation)

Ongoing validation — periodic revalidation triggered by performance deterioration, material changes, passage of time, or significant market shifts

SR 11-7 §II (Ongoing Review)

Validation findings tracked — MRAs, validation exceptions, and outstanding findings are formally tracked to remediation with target dates and owners

SR 11-7 §II (Findings Management)

Domain 3 Governance & Controls Weight: 25%

Board / senior management oversight — board approves MRM policy, receives periodic model risk reporting, and reviews material model risk exposures

SR 11-7 §III (Governance)

MRM policy — written policy approved by board or senior management covering scope, model definition, risk tiering, and responsibilities

SR 11-7 §III (Policies)

Model tiering — models are risk-tiered (e.g. high/medium/low) based on materiality, complexity, and breadth of use; tiering drives validation depth

SR 11-7 §III (Risk Tiering)

Findings escalation — validation findings are escalated to appropriate management levels based on severity; critical issues reach CRO or board

SR 11-7 §III (Escalation)

Audit coverage — internal audit independently reviews the MRM programme, validation function, and model governance on a periodic basis

SR 11-7 §III (Internal Audit)

Regulatory findings — prior examiner MRA/MRIA findings related to model risk are tracked, remediated on schedule, and reported to the board

SR 11-7 §III (Regulatory Compliance)

Domain 4 Model Inventory & Documentation Weight: 10%

Centralised inventory — all models registered with model owner, purpose, tier, validation status, and approval date in a centrally maintained system

SR 11-7 §IV (Model Inventory)

Documentation standards — model documentation templates enforced; development and validation reports follow a consistent format across the portfolio

SR 11-7 §IV (Documentation)

Usage controls — production models are accessed only through controlled, tested processes; unauthorised use or parameter overrides are prevented and logged

SR 11-7 §IV (Usage Controls)

Decommissioning — retired or replaced models are formally decommissioned, removed from inventory with rationale documented, and access controls revoked

SR 11-7 §IV (Decommissioning)

Regulatory Sources

Federal Reserve SR 11-7 — Guidance on Model Risk Management (April 4, 2011) — foundational US MRM framework covering model development, validation, governance, and use.
OCC Bulletin 2011-12 — Sound Practices for Model Risk Management (April 4, 2011) — parallel OCC guidance issued jointly; applicable to all national banks and federal savings associations.
Federal Reserve / OCC SR 11-7 Interagency FAQ and Clarifications — scope clarifications covering vendor models, model definition, and proportionality for community banks.
Basel Committee on Banking Supervision — Principles for the Sound Management of Operational Risk (2011) — recognises model risk as a component of operational risk.
Federal Reserve Supervisory Letters SR 15-18 / SR 15-19 — CCAR model risk management expectations for large bank holding companies and FBOs above $50 billion in total assets.

SR 11-7 Model Risk Management Gap Assessor