PIB App5 Market Risk
- PIB A5.1 Market Risk Systems and Controls
-
PIB A5.2 Interest Rate Risk Capital Requirement
- PIB A5.2 Guidance
- PIB A5.2.1
- PIB A5.2.2
- PIB A5.2.3
- PIB A5.2.4
- Derivation of Notional Positions for Certain Instruments (Including Interest Rate Derivatives)
- Futures on Interest Rates and Forward Rate Agreements
- Futures and Forwards on a Single Debt Security
- Future or Forward on a Basket of Debt Securities
- Interest Rate and Currency Swaps
- Dual Currency Bonds
- Cash Legs of Repos
- Cash Legs of Reverse Repos
- Specific Risk
- General Market Risk
- Simplified Framework
- Maturity Method
- Duration Method
-
PIB A5.3 Equity Risk Capital Requirement
- PIB A5.3 Guidance
- PIB A5.3.1
- PIB A5.3.2
- PIB A5.3.3
- PIB A5.3.4
- PIB A5.3.5
- PIB A5.3.6
- PIB A5.3.7
- PIB A5.3.8
- Derivation of Notional Positions
- Depository receipts
- Equity Swaps
- Equity Futures and Forwards
- Equity Options and Company Issued Warrants
- Netting
- PIB A5.3.19
- Calculation of the Equity Risk Capital Requirement
- PIB A5.3.20
- PIB A5.3.21
- The Concentration Test
- Standard Method
- Specific Risk
- Simplified Method
- PIB A5.4 Foreign Exchange Risk Capital Requirement
- PIB A5.5 Commodities Risk Capital Requirement
- PIB A5.6 Option Risk Capital Requirement
- PIB A5.7 Collective Investment Fund Risk Capital Requirement
-
PIB A5.8 Securities Underwriting Risk Capital Requirement
- PIB A5.8 Guidance
- PIB A5.8.1
- PIB A5.8.2
- Commitment to Underwrite Securities
- Grey Market Transactions
- Calculating the Net Underwriting Position
- Time of Initial Commitment
- Working Day 0
- Calculating the Reduced Net Underwriting Position
- Reduction Factors
- Large Exposure Risk from Underwriting Securities: Calculating the Net Underwriting Exposure
- Risk management
- PIB A5.9 Use of Internal Models for Market Risk