Comprehensive risk.

CFR · 2024-01-01 · US · Title 12

(a) (2) A Board-regulated institution that measures the price risk of a portfolio of correlation trading positions using internal models must calculate at least weekly a comprehensive risk measure that captures all price risk according to the requirements of this section. The comprehensive risk measure is either: (i) The sum of: (A) The Board-regulated institution's modeled measure of all price risk determined according to the requirements in paragraph (b) of this section; and (B) A surcharge for the Board-regulated institution's modeled correlation trading positions equal to the total specific risk add-on for such positions as calculated under section 210 of this subpart multiplied by 8.0 percent; or (ii) With approval of the Board and provided the Board-regulated institution has met the requirements of this section for a period of at least one year and can demonstrate the effectiveness of the model through the results of ongoing model validation efforts including robust benchmarking, the greater of: (A) The Board-regulated institution's modeled measure of all price risk determined according to the requirements in paragraph (b) of this section; or (B) The total specific risk add-on that would apply to the bank's modeled correlation trading positions as calculated under section 210 of this subpart multiplied by 8.0 percent. (b) (1) The internal model must measure comprehensive risk over a one-year time horizon at a one-tail, 99.9 percent confidence level, either under the ass

official document · source cfr-2024 · id 12:§ 217.209