CALCULATING CAPITAL REQUIREMENTS FOR POSITION RISK
14. The institution shall assign its net positions in the trading...
14a. By way of derogation from point 14, an institution may...
14b. The correlation trading portfolio shall consist of securitisation positions and...
14c. Positions which reference either of the following shall not be...
15. For the purposes of point 14 qualifying items shall include:
16a. For instruments in the trading book that are securitisation positions,...
SPECIFIC RISK CAPITAL CHARGES FOR TRADING BOOK POSITIONS HEDGED BY...
CALCULATING CAPITAL REQUIREMETNS FOR SETTLEMENT AND COUNTERPARTY CREDIT RISK
CALCULATING CAPITAL REQUIREMENTS FOR COMMODITIES RISK
6. For the purpose of point 19, the excess of an institution's...
7. The competent authorities may regard the following positions as positions...
8. Commodity futures and forward commitments to buy or sell individual...
9. Commodity swaps where one side of the transaction is a...
10. Options on commodities or on commodity derivatives shall be treated...
USE OF INTERNAL MODELS TO CALCULATE CAPITAL REQUIREMENTS
2. Recognition shall only be given if the competent authority is...
3. Institutions shall have processes in place to ensure that their...
4. The institution shall monitor the accuracy and performance of its...
5. For the purpose of calculating capital requirements for specific risk...
8. For the purposes of points 10b(a) and (b), the multiplication...
9. Each institution must meet a capital requirement expressed as the...
10. The calculation of the value-at-risk measure shall be subject to...
10b. Each institution shall meet, on a daily basis, a capital...