Entire Section

  • PIB A4.3.8 PIB A4.3.8

    An Authorised Firm must calculate the add-on using one of the following approaches:

    (a) the approach according to the following formula:
    add on = Σ ((ES )(HS )) + Σ ((EFX )(HFX ))
    where:

    ES = absolute value of the net position in a given Security;

    HS = haircut appropriate to ES

    EFX = absolute value of the net position in a currency different from the settlement currency; and

    HFX = haircut appropriate for currency mismatch between the Collateral and Exposure;

    or
    (b) the approach using VaR models, provided the Authorised Firm has received approval from the DFSA as referred to in PIB Rule A4.3.5.
    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.3.8 Guidance

      Approval for the use of the internal model approach is governed by PIB section 5.11 of PIB chapter 5 .

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]