• PRU 5.11.1 PRU 5.11.1

    An Authorised Person in Category 1, 2 or 5 may use an internal model to calculate its Market Risk Capital Requirement or any components of its Market Risk Capital Requirement if the use of such internally developed models has been approved in writing by the Regulator.

    • Guidance

      Guidance in respect of criteria for use of internally developed Market Risk models is provided in Section A5.9.