Internal models approach (IMA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) The national bank or Federal savings association must have one or more models that: (i) Assess the potential decline in value of its modeled equity exposures; (ii) Are commensurate with the size, complexity, and composition of the national bank's or Federal savings association's modeled equity exposures; and (iii) Adequately capture both general market risk and idiosyncratic risk. (2) The national bank's or Federal savings association's model must produce an estimate of potential losses for its modeled equity exposures that is no less than the estimate of potential losses produced by a VaR methodology employing a 99th percentile one-tailed confidence interval of the distribution of quarterly returns for a benchmark portfolio of equity exposures comparable to the national bank's or Federal savings association's modeled equity exposures using a long-term sample period. (3) The number of risk factors and exposures in the sample and the data period used for quantification in the national bank's or Federal savings association's model and benchmarking exercise must be sufficient to provide confidence in the accuracy and robustness of the national bank's or Federal savings association's estimates. (4) The national bank's or Federal savings association's model and benchmarking process must incorporate data that are relevant in representing the risk profile of the national bank's or Federal savings association's modeled equity exposures, and must include data from at least

official document · source cfr-2024 · id 12:§ 3.153