SIMM Falls Short says PRA Letter to Banks
SIMM Falls Short says PRA
In an article over at DRS they explain why the current SIMM model and calibration may not be adequate for the implementation of UMR phase 6 in September. A letter from the Bank of England Prudential Regulation Authority sets out their conclusions of a review of the SIMM model.
DRS-ALS comments: “Even assuming a sound initial framework, all financial models are subject to drift, constant monitoring and re-calibration to fact are essential. The RTS requires P&L back testing, ISDA recommend it, the PRA’s letter makes it abundantly clear that firms must use the SIMM responsibly and will be found responsible if they do not.”
You can read the commentary from DRS-ALS over here.