2
Use of Internal Models: Risk Capture
2.1
A firm which has a permission to use internal models in accordance with Title IV, Chapter 5 of the CRR:
- (a) must identify any material risks, or risks that when considered in aggregate are material, which are not captured by those models; and
- (b) must ensure that it holds own funds to cover those risk(s) in additional to those required to meet its own funds requirement calculated in accordance with Title IV, Chapter 5 of the CRR.
- 01/01/2014