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 an FDIC-supervised institution calculates an incremental risk measure for a portfolio of debt or equity positions under § 324.208, the FDIC-supervised 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) An FDIC-supervised institution must calculate a specific risk add-on under the standardized measurement method as described in § 324.210 for all of its securitization positions that are not modeled under § 324.209.

official document · source cfr-2024 · id 12:§ 324.207