Regulatory AlertsAPG 116 Market Risk
The Australian Prudential Regulation Authority issued this guide to assist authorised deposit-taking institutions in complying with Prudential Standard APS 116 regarding the management and measurement of market risk. It provides detailed guidance on capital requirements for interest rate, equity, and commodities risk, including specific methodologies for trading book policies and option treatment. The document further outlines the qualitative and quantitative standards for internal models, such as Value-at-Risk calculations, stress testing, and independent audit requirements.
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