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  • CA-B CA-B General guidance and best practice

    • CA-B.1 CA-B.1 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.1.1

          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).

          October 07

        • CA-B.1.2

          This technical guidance presents a methodology for testing the accuracy of the internal models used by banks to measure market risks.

          October 07

        • CA-B.1.3

          Backtesting offers the best opportunity for incorporating suitable incentives into the internal models in a consistent manner.

          October 07

        • CA-B.1.4

          The Central Bank 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.

          October 07

      • Basel Committee: The management of banks' off-balance-sheet exposures – a supervisory perspective

        • CA-B.1.5

          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).

          October 07

        • CA-B.1.6

          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.

          October 07