9.1 Article 325az of the Market Risk: Internal Model Approach (CRR) Part states that permission for an institution to use internal models to calculate capital is subject to competent authorities verifying compliance with:

• requirements on risk measurement;

• qualitative requirements; and

• requirements on internal validation.

9.2 The standards that the PRA expects to be met to consider that an institution is compliant with these requirements are set out below.

High-level standards

9.3 A firm should be able to demonstrate that it meets the risk management standards set out in Article 325bi of the Market Risk: Internal Model Approach (CRR) Part on a legal entity and business line basis where appropriate. This is particularly important for a subsidiary undertaking in a group subject to matrix management, where the business lines cut across legal entity boundaries.

Categories of position

9.4 [Deleted]

Data standards

9.5 [Deleted]

9.6 [Deleted]

9.7 [Deleted]

Risk Factor Modelling