Title[ Part 4: The Third Pillar — Market Discipline
Section[ 3. Market risk
Table 10
Market risk: disclosures for banks using the standardised approach 173
Qualitative disclosures
(a) The general qualitative disclosure requirement (paragraph 824) for market risk including the portfolios covered by the standardised approach.
Quantitative disclosures
(b) The capital requirements for:
w interest rate risk;
w equity position risk;
w foreign exchange risk; and
w commodity risk.
173 The standardised approach here refers to the “standardised measurement method” as defined in the Market
Risk Amendment.
Table 11
Market risk: disclosures for banks using the internal models approach (IMA) for trading portfolios
Qualitative disclosures
Quantitative disclosures
(a) The general qualitative disclosure requirement (paragraph 824) for market risk including the portfolios covered by the IMA. In addition, a discussion of the extent of and methodologies for compliance with the “Prudent valuation guidance” for positions held in the trading book (paragraphs 690 to 701).
(b) The discussion should include an articulation of the soundness standards on which the bank’s internal capital adequacy assessment is based. It should also include a description of the methodologies used to achieve a capital adequacy assessment that is consistent with the soundness standards.
(c) For each portfolio covered by the IMA:
? the characteristics of the models used;
? a description of stress testing applied to the portfolio; and
? a description of the approach used for backtesting/validating the accuracy and consistency of the internal models and modelling processes.
(d) The scope of acceptance by the supervisor.
(e) For trading portfolios under the IMA:
? The high, mean and low VaR values over the reporting period and period- end; and
? A comparison of VaR estimates with actual gains/losses experienced by the bank, with analysis of important “outliers” in backtest results.
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