An Authorised Firm with the necessary capability may, with the written consent of the DFSA, use the Duration Method, which produces a more accurate measure for General Market Risk than the Maturity Method. An Authorised Firm must elect and use the Duration Method on a continuous basis and will be subject to supervisory monitoring of the systems used.
Derived from RM111/2012
(Made 15th October 2012). [VER20/12-12]