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Amendment of the Capital Accord to Incorporate Market Risk

Part B - Use of internal models to measure market risks

USE OF INTERNAL MODELS TO MEASURE MARKET RISKS

B.1 General Criteria

B.2 Qualitative Standards

B.3 Specification of Market Risk Factors

B.4 Quantitative Standards

B.5 Stress Testing

B.6 External Validation

B.7 Combination of Internal Models and the Standardized Methodology

B.8 Treatment of Specific Risk (added in Sept. 1997)

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