PIB A4.3.5 PIB A4.3.5
(1) As an alternative to the use of standard supervisory haircuts or own-estimate haircuts, an Authorised Firm may, subject to DFSA approval, use VaR models to reflect the price volatility of the Exposure and Collateral for SFTs which are covered by a qualifying bilateral Netting agreement. The requirements relating to the use of this approach are set out in
[PIB section A4.5].
(2) An Authorised Firm may seek the DFSA's approval referred to in (1) only if it has al received the DFSA's approval to use the internal models approach for calculating the Market Risk Capital Requirement.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]