Specific risk.

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) (A) Explain the historical price variation in the portfolio; (B) Be responsive to changes in market conditions; (C) Be robust to an adverse environment, including signaling rising risk in an adverse environment; and (D) Capture all material components of specific risk for the debt and equity positions in the portfolio. Specifically, the internal models must: ( ( (ii) If a Board-regulated institution calculates an incremental risk measure for a portfolio of debt or equity positions under section 208 of this subpart, the Board-regulated institution is not required to capture default and credit migration risks in its internal models used to measure the specific risk of those portfolios. (2) (c) (2) A Board-regulated institution must calculate a specific risk add-on under the standardized measurement method as described in § 217.210 for all of its securitization positions that are not modeled under § 217.209.

official document · source cfr-2024 · id 12:§ 217.207