CA-14.11.10
For a bank to apply this exception, it must:
(a) Have sufficient market data to ensure that it fully captures the salient risks of these exposures in its comprehensive risk measure in accordance with the standards set forth above;
(b) Demonstrate (for example, through backtesting) that its risk measures can appropriately explain the historical price variation of these products; and
(c) Ensure that it can separate the positions for which it holds approval to incorporate them in its comprehensive risk measure from those positions for which it does not hold this approval.
Added: January 2012