Maintenance Act, 1998
R 385
Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to Banks' Financial Instrument TradingChapter 7 : Use of Internal Mode24. General criteria |
| (1) | The use of an internal model in order to calculate position risk shall be subject to the prior written approval of the Registrar. |
| (2) | The Registrar shall consider granting approval only if, as a minimum— |
| (a) | he is satisfied that a bank's risk-management system is conceptually sound and is managed with integrity; |
| (b) | a bank has adequately skilled staff operating the sophisticated models, not only in the trading area but also in the risk control, audit, and where applicable, back-office areas; |
| (c) | a bank's models have a proven track record of accuracy in the measurement of risk; and |
| (d) | a bank regularly performs stress tests, as prescribed in regulation 28. |
| (3) | A bank's proposed internal model shall be subject to a period of initial monitoring and live testing, to the satisfaction of the Registrar, before it may be used for the calculation of capital adequacy. |
| (4) | In addition to any other criteria, a bank using internal models for capital-adequacy purposes will also be subject to the requirements set out in regulations 24 to 29. |
