27. Documentation

An institution should document its approach to capturing incremental default and migration risks so that its correlation and other modelling assumptions are transparent to the competent authorities.

Therefore, the calculation of the risk measures generated by the model and the associated data flows should be documented to a level of detail that would allow a third party to replicate these risk measures. Furthermore, the institution should document the process for initial and ongoing validation of the IRC model to a level of detail that would enable a third party to replicate the analysis. This documentation should also contain a description of the ongoing model maintenance processes as employed in the course of the initial assignment and update of model input parameters.

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