CA-5.8.32
If the bank employs statistical models in the rating process, the bank must document their methodologies. This material must:
(a) Provide a detailed outline of the theory, assumptions and/or mathematical and empirical basis of the assignment of estimates to grades, individual obligors, exposures, or pools, and the data source(s) used to estimate the model;
(b) Establish a rigorous statistical process (including out-of-time and out-of-sample performance tests) for validating the model; and
(c) Indicate any circumstances under which the model does not work effectively.
Apr 08