+Article 14 (c)

Article 14 (c)

the trading limits include the following:

(i)

a value-at-risk limit for the maximum level of portfolio aggregation at which the internal model is applied;

(ii)

a value-at-risk limit for each trading desk for which the institution calculates its own funds requirement for market risk with the internal risk-measurement model;

1. Vue d’ensemble

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1.1 Références

1.2 Exigences identifiées

1.3 Normes associées

2. Exigences identifiées

Exigences

3. Normes associées

Normes