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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]
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(1 version)
 
Dec 9 2012 onwards

PIB A4.5.1

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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.

An Authorised FirmG using VaR models must:

(a) use a minimum holding period of ten business days except in the case of an SFT, for which it must use a minimum holding period of five business days;
(b) backtest its output by:
(i) identifying a sample of 20 CounterpartiesG , on an annual basis, which must include the ten largest CounterpartiesG as determined by the Authorised FirmG according to its own ExposureG measurement approach and ten others selected at random;
(ii) comparing, for each day and for the sample of 20 CounterpartiesG , the VaR estimate of the previous day for the CounterpartyG portfolio to the difference between the net value of the previous day's portfolio using today's market prices and the net value of that portfolio using the previous day's market prices; and
(iii) counting it as an exception, where this difference exceeds the previous day's VaR estimate.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]