CA-11.1.5

Banks which have the intention and capability to use internal models for the measurement of their foreign exchange risk and, hence, for the calculation of the capital requirement, should seek the prior written approval of the CBB for those models. The CBB's detailed rules for the recognition and use of internal models are included in chapter CA-14. Banks which do not use internal models should adopt the standardised approach, as set out in detail in this chapter.

Apr 08