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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
PIB App5 Market Risk
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
Media Releases
Notices
Financial Markets Tribunal
Archive

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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB A5.2.15



Whole Section PDF

The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

To view past versions of this module in PDF format, please visit the Archive.

(1) An Authorised FirmG must calculate its General Market RiskG on a currency by currency basis, irrespective of where the individual instruments are physically traded or listed. The calculations for each currency must then be added together to determine the amount of the Authorised Firm'sG General Market RiskG requirement.
(2) An Authorised FirmG must calculate its General Market RiskG requirement for each currency by applying either:
(a) the simplified framework set out in PIB Rule A5.2.16;
(b) the Maturity MethodG set out in PIB Rule A5.2.17; or
(c) with the consent of the DFSAG , the Duration MethodG set out in PIB Rule A5.2.19.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]