Banks Act, 1990 (Act No. 94 of 1990)

Regulations

Regulations relating to Banks

Chapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof

28. Market risk

Directives and interpretations for completion of monthly return concerning market risk (Form BA 320)

Subregulation (8) Method 2: Internal models approach

Subregulation (8)(c) Qualitative requirements
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(c)Qualitative requirements

 

A bank that wishes to adopt the internal models approach for the measurement of the bank's exposure to market risk in respect of relevant positions held in the bank's trading book and/or banking book—

(i)shall have in place models and risk management systems that are conceptually sound and implemented with integrity;
(ii)as a minimum, shall continuously comply with the qualitative requirements specified in regulation 39(14)(b).