CA-G-3 Use of Internal Models Approach to Calculate Market Risk

Topic:

Capital Adequacy - Market Risk

Keyword: Risk-weighting approach Stress-testing Systems/controls Policies/procedures Basis risk + External auditors Internal auditors Risk measurement Risk appetite/limits Senior management/72B managers Board of Directors Specialized/Board committees Three lines of defence Option risk On-site examination Regulatory reporting/disclosures SRP Credit spread risk Gap risk Operational risk -

Group: Locally Incorporated Authorized Institutions