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Committees at the Bank for International Settlement (BIS)

Supervisory Framework for the use of "Backtesting" in Conjunction with the Internal Models Approach to Market Risk Capital Requirements

I. Introduction

II. Description of the backtesting framework

III. Supervisory framework for the interpretation of backtesting results

  • Description of three-zone approach
  • Statistical considerations in defining the zones
  • Definition of the green, yellow, and red zones
  • The green zone
  • The yellow zone
  • The red zone

IV. Conclusion

Table 1

Table 2

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