IMA Desk Approval
- Stressed ES (SES) Calculation
Default Risk Charge (DRC) Calculation
Multiplication factor Mc
Regulatory and internal model validation services from CompatibL
- Risk factors derived solely from a combination of modellable risk factors are modellable.
- A bank may add modellable risk factors, and replace non-modellable risk factors by a basis between these additional modellable risk factors and these non-modellable risk factors. This basis will then be considered as a nonmodellable risk factor. A combination between modellable and non-modellable risk factors will be a non-modellable risk factor.
- With supervisory approval, some risk factors that would be considered modellable may be temporarily excluded from a bank’s firm-wide regulatory capital model. In these circumstances, the bank will be given 12 months to include the relevant risk factors in the regulatory capital model.