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 national bank or Federal savings association calculates an incremental risk measure for a portfolio of debt or equity positions under section 208 of this subpart, the national bank or Federal savings association 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 national bank or Federal savings association must calculate a specific risk add-on under the standardized measurement method as described in § 3.210 for all of its securitization positions that are not modeled under § 3.209.

official document · source cfr-2024 · id 12:§ 3.207