CA-B.2 CA-B.2 Guidance provided by other international bodies
Basel Committee: Use of 'Backtesting' in Conjunction with the Internal Models Approach to Market Risk Capital Requirements
CA-B.2.1
In January 1996, the
Basel Committee on Banking Supervision issued technical guidance on the "use of 'Backtesting' in Conjunction with the Internal Models Approach to Market Risk Capital Requirements" (see http://www.bis.org/publ/bcbs22.htm).CA-B.2.2
This technical guidance presents a methodology for testing the accuracy of the internal models used by banks to measure market risks.
CA-B.2.3
Backtesting offers the best opportunity for incorporating suitable incentives into the internal models in a consistent manner.
CA-B.2.4
The Agency will rely upon technical guidance for its assessment and review of bank's market risk capital requirements including, but not limited to, the determination of the add-on factor.
Basel Committee: The management of banks' off-balance-sheet exposures — a supervisory perspective
CA-B.2.5
In March 1986, the
Basel Committee on Banking Supervision issued a paper titled "The management of banks' off-balance-sheet exposures — a supervisory perspective" (see www.bis.org/publ/bcbsc134.pdf).CA-B.2.6
This paper examines off-balance-sheet risks from three angles: market/position risk, credit risk and operational/control risk. Part III of this paper examines credit risk (including control of large
exposures , settlement risk and country risk), with particular emphasis given to the assessment of the relative risks of the different types of off-balance-sheet activity.
