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© 3d Investments Ltd 2012
Financial Services Authority
FSA Handbook of Rules and Guidance
Block 2a Prudential standards
BIPRU Prudential sourcebook for Banks, Building Societies and Investment Firms
[Made 25 October 2006] [Commencement: 1 January 2007]
BIPRU 7 Market risk
BIPRU 7.9 Use of a CAD 1 model
Introduction
7.9.1 G A firm is required under GENPRU 2.1.52R (Calculation of the market risk capital requirement) to calculate its market risk capital requirement using the rules in BIPRU 7. However, the FSA may at the firm's request modify GENPRU 2.1.52R to allow the firm to calculate all or part of the PRR for the positions covered by that model by using a CAD 1 model (for options risk aggregation and/or interest rate pre-processing) or a VaR model (value at risk model) instead. BIP
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