Regulatory Alerts2007-10-15
Guidelines on the Application and Approval Process for Internal Liquidity Risk Measurement Systems
The Federal Financial Supervisory Authority (BaFin) and the Deutsche Bundesbank require financial institutions to submit written applications for approval of their internal liquidity risk measurement models. These applications must include comprehensive documentation detailing the model's assumptions, organizational structure, validation processes, and IT implementation to facilitate a mandatory on-site examination. Upon approval, institutions may permanently use their approved models for prudential purposes while adhering to specific reporting requirements and supervisory follow-up checks.
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