CA-A.3.10
Past version: Effective from 01 Apr 2008 to 31 Dec 2010
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For the measurement of their market risk, banks have a choice, subject to the written approval of the CBB, between two broad methodologies.
(a) One alternative is to measure the risks in a standardised approach, applying the measurement frameworks described in chapters CA-9 to CA-13 of this module.
(b) The second alternative methodology (i.e. the internal models approach) is set out in detail in chapter CA-14 including the procedure for obtaining the CBB's approval. This methodology is subject to the fulfilment of certain conditions. The use of this methodology is, therefore, conditional upon the explicit approval of the CBB.
Apr 08