Internal models approach (IMA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) The FDIC-supervised institution 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 FDIC-supervised institution's modeled equity exposures; and (iii) Adequately capture both general market risk and idiosyncratic risk. (2) The FDIC-supervised institution'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 (3) The number of risk factors and exposures in the sample and the data period used for quantification in the FDIC-supervised institution's model and benchmarking exercise must be sufficient to provide confidence in the accuracy and robustness of the FDIC-supervised institution's estimates. (4) The FDIC-supervised institution's model and benchmarking process must incorporate data that are relevant in representing the risk profile of the FDIC-supervised institution's modeled equity exposures, and must include data from at least one equity market cycle containing adverse market movements relevant to the risk profile of the FDIC-supervised institution's modeled equity exposures. In addition, the FDIC-supervised institution's benchmarking exercise must be based on

official document · source cfr-2024 · id 12:§ 324.153