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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 7.10 Use of a Value at Risk Model
Application
7.10.1 R BIPRU 7.10 applies to a firm with a VaR model permission.
Introduction and purpose
7.10.2 G BIPRU 7.10 provides details of when the FSA expects to allow a firm to use a VaR model (value at risk model)for the purpose of calculating part or all of its PRR. It introduces the concept of a VaR model, the methodology behind it and the link to the standard market risk PRR rules. It then goes on to detail the application and review process. The bulk of
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