CA-14.6.3
Based on the number of exceptions identified from the back-testing procedures, the banks will be classified into three exception categories for the determination of the "scaling factor" to be applied to the banks' market risk measure generated by its internal models. The three categories, termed as zones and distinguished by colours into a hierarchy of responses, are listed below:
(a) Green zone;
(b) Yellow zone; and
(c) Red zone.
Amended: April 2011
Apr 08
Apr 08