Article 221 5.
An institution's internal risk-measurement model shall capture a sufficient number of risk factors in order to capture all material price risks. An institution may use empirical correlations within risk categories and across risk categories where its system for measuring correlations is sound and implemented with integrity.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
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Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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