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Banking (prudential standard) determination No. 9 of 2022
No longer in force
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Administered by
Department of the Treasury
This item is authorised by the following title:
Banking Act 1959
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F2022L01564
05 December 2022
-
31 December 2024
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Authority
Application
Interpretation
Scope
Definitions
Key principles
The TFC capital requirement
The standard method
The internal model approach
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Combination of the internal model approach and the standard method
Governance and the trading book policy statement and prudent valuation practices
Board and senior management responsibilities
The trading book
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Measuring currency exposure
The standard method
Interest rate risk
Equity position risk
Foreign exchange risk
Commodities risk
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Treatment of options
The internal model approach
Key requirements
General criteria
Qualitative standards
Specification of market risk factors
Quantitative standards
Stress testing
Model review
Treatment of specific risk
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Framework for the use of back-testing
Treatment of credit derivatives in the trading book
Application
General principles - General market risk
General principles - Specific risk
Credit-default swaps
Total-rate-of-return swaps
Cash-funded credit linked notes
Nth-to-default basket credit derivatives
Specific risk offsetting
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