Status: You are viewing the version of the handbook as on 2009-03-31.

BIPRU TP 14 Market risk: VaR models

1Application

14.1

R

BIPRU TP 14 applies to a BIPRU firm that:

(1)

has had a VaR model permission since 1 January 2007; and

(2)

on 31 December 2006 calculated its capital requirements under IPRU using the VaR model approach (as then in force) under a waiver or (in the case of a firm to which IPRU(BANK) or IPRU(BSOC) applied) written guidance (a "written concession").

Purpose

14.2

G

BIPRU TP 14 implements Article 47 of the Capital Adequacy Directive.

Duration of transitional

14.3

R

BIPRU TP 14 applies until 31 December 2009 or any earlier date specified in the firm's VaR model permission.

Specific risk calculations for VaR models

14.4

R

A firm may treat:

(1)

the VaR specific risk minimum requirements and the provisions about backtesting in relation to specific risk as being replaced by the provisions of the written concession referred to in BIPRU TP 14.1 relating to specific risk; and

(2)

the incremental default risk charge as being replaced by the provisions of that written concession relating to the calculation of capital requirements for specific risk.