PRU APP5 MARKET RISK
- PRU A6.1 Market Risk systems and controls
-
PRU A6.2 Interest Rate Risk Capital Requirement
- Guidance
- PRU A6.2.1
- PRU A6.2.2
- PRU A6.2.3
- PRU A6.2.4
- Derivation of notional positions for certain instruments (including interest rate Derivatives)
- Futures on interest rates and forward rate agreements
- Futures and forwards on a single debt security
- Future or forward on a basket of debt Securities
- Interest rate and currency swaps
- Dual currency bonds
- Cash legs of repos
- Cash legs of reverse repos
- Specific Risk
- General Market Risk
- Simplified Framework
- Maturity Method
- Duration Method
-
PRU A6.3 Equity Risk Capital Requirement
- Guidance
- PRU A6.3.1
- PRU A6.3.2
- PRU A6.3.3
- PRU A6.3.4
- PRU A6.3.5
- PRU A6.3.6
- PRU A6.3.7
- PRU A6.3.8
- Derivation of notional positions
- Depository receipts
- Equity swaps
- Equity Futures and forwards
- Equity Options and company issued Warrants
- Netting
- Calculation of the Equity Risk Capital Requirement
- The concentration test
- Standard method
- Specific Risk
- Simplified method
- PRU A6.4 Foreign Exchange Risk Capital Requirement
- PRU A6.5 Commodities Risk Capital Requirement
- PRU A6.6 Option Risk Capital Requirement
- PRU A6.7 Collective Investment Fund Risk Capital Requirement
-
PRU A6.8 Securities Underwriting Risk Capital Requirement
- Guidance
- PRU A6.8.1
- PRU A6.8.2
- Commitment to underwrite Securities
- Grey market transactions
- Calculating the net Underwriting position
- Time of initial commitment
- Working day 0
- Calculating the reduced net Underwriting position
- Reduction Factors
- Large Exposure risk from Underwriting Securities: Calculating the net Underwriting Exposure
- Risk management
- PRU A6.9 Use of internal models for Market Risk