OSFI: Assessment of regulatory capital models
OSFI has published a document on capital models assessment. The document outlines key principles and processes OSFI applies for assessing internal models financial institutions intend to use for regulatory capital purposes (capital models).
The capital models relate to the measurement of credit, market and counterparty credit risk for the purposes of calculating minimum regulatory capital requirements.
Under chapter 1 of the Capital Adequacy Requirements Guideline, federal deposit-taking institutions must obtain approval from OSFI prior to using advanced approaches for regulatory capital.
The assessment of capital models is governed by the prudential regulator’s Capital Model Assessment Program for any primary and sub-risk factor eligible for the internal model regime.
Further details are available here.
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