Explains the criteria for approval to use the internal models approach for market risk capital: the qualitative criteria (board and senior management oversight, the market risk management system, an independent market risk control unit, risk factors, use of the models, compliance and documentation, internal validation, stress-testing, independent review or audit), the quantitative criteria and multiplication and scaling factors, specific risk, back-testing, stress-testing, the incremental risk charge and the approval process. Classification: a non-statutory guideline issued as a technical note; version V.3, 11.10.12; applies to locally incorporated AIs seeking the IMM approach.
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.