Date-stamp loading
Version date: 14 January 2016 - onwards

C. Market risk - The Internal Models Approach

1. General criteria

176. The use of an internal model for the purposes of regulatory capital determination will be conditional upon the explicit approval of the bank's supervisory authority. Home and host country supervisory authorities of banks that carry out material trading activities in multiple jurisdictions intend to work cooperatively to ensure an efficient approval process.

177. The supervisory authority will only give its approval if at a minimum:

(a) It is satisfied that the bank's risk management system is conceptually sound and is implemented with integrity;

(b) The bank has, in the supervisory authority's view, sufficient numbers of staff skilled in the use of sophisticated models not only in the trading area but also in the risk control, audit and, if necessary, back office areas;

(c) The bank's models have, in the supervisory authority's judgement, a proven track record of reasonable accuracy in measuring risk;

(d) The bank regularly conducts stress tests along the lines

Comparing proposed amendment...