Regulatory Alerts2001-02-16
Added · Updated
Use of Internal Models to Measure Market Risks for Investment Guarantees under MPF Schemes
The Hong Kong Monetary Authority issues this technical note to prescribe standards for Authorized Institutions using internal models to measure market risks for investment guarantees under Mandatory Provident Fund schemes. The document mandates specific qualitative criteria, risk factor specifications, and quantitative parameters such as a 99% confidence interval and a 20-day holding period for value-at-risk calculations. It further establishes capital requirement formulas, multiplication factors based on model quality and back-testing performance, and detailed procedures for validating specific risk models.
More like this from HKMA
HKMA published 11 documents in the last 30 days. We email you each new one the day it's published.