Related provisions for IFPRU 4.11.4
1 - 14 of 14 items.
Firms who gained model recognition before 1 January 2007 will be permitted to calculate PRR for specific risk in accordance with the methodology they were permitted to use immediately before that date instead of capturing event and default risk in their models (see BIPRU TP 14 (Market risk: VaR models)). This treatment will not be available to a firm that gains model recognition after that date.
A firm is required under GENPRU 2.1.52 R (Calculation of the market risk capital requirement) to calculate its market risk capital requirement using the rules in BIPRU 7. However, the appropriate regulator may at the firm's request modify GENPRU 2.1.52 R to allow the firm to calculate all or part of the PRR for the positions covered by that model by using a CAD 1 model (for options risk aggregation and/or interest rate pre-processing) or a VaR model (value at risk model) instead.
(1) A firm may apply for 7a waiver in respect of:(a) the IRB approach;(b) [deleted]55(c) the CCR internal model method; and(d) the VaR model approach.(2) A firm should apply for a waiver if it wants to:(a) apply the CAD 1 model approach; or2(b) apply the master netting agreement internal models approach; or2(c) disapply consolidated supervision under BIPRU 8 for its UK consolidation group or non-UK sub-group7; or2(d) apply the treatment in BIPRU 2.1 (Solo-consolidation waiver);
(1) A firm must meet the standards set out in (2) to (9) for the purpose of calculating capital requirements.(2) The estimate of potential loss must be robust to adverse market movements relevant to the long-term risk profile of the firm's specific holdings. The data used to represent return distributions must reflect the longest sample period for which data is available and be meaningful in representing the risk profile of the firm's specific equity exposures. The data used must