HKMA out with new SPM
HKMA issues a supervisory policy manual (SPM) on the “Use of Internal Models Approach to Calculate Market Risk”.
The Hong Kong Monetary Authority (HKMA) has issued a supervisory policy manual (SPM) on the “Use of Internal Models Approach to Calculate Market Risk”, which supersedes the previous version published in September 2002.
It incorporates the new Basel II standards relating to the use of internal models for calculation of market risk, and explains the latest criteria that HKMA will use in assessing an A1 bank’s eligibility for adopting the internal models approach to calculate its regulatory capital
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