Title[ Part 3: The Second Pillar - Supervisory Review Process
Section[ 3. Stress testing under the internal models approach
778 (iii). A bank must ensure that it has sufficient capital to meet the minimum capital requirements set out in the Market Risk Amendment and to cover the results of its stress testing required by that amendment (paragraph B.2(g), taking into account the principles set forth in paragraphs 738 (ii) and 740). Supervisors will consider whether a bank has sufficient capital for these purposes, taking into account the nature and scale of the bank’s trading activities and any other relevant factors such as valuation adjustments made by the bank. To the extent that there is a shortfall, or if supervisors are not satisfied with the premise upon which the bank’s assessment of internal market risk capital adequacy is based, supervisors will take the appropriate measures. This will usually involve requiring the bank to reduce its risk exposures and/or to hold an additional amount of capital, so that its overall capital resources at least cover the Pillar 1 requirements plus the result of a stress test acceptable to the supervisor.
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