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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
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Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER26/02-17]
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  Versions
(1 version)
 
Dec 9 2012 onwards

PIB App5 Market Risk

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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.


Contents:
PIB A5.1 Market Risk Systems and Controls
PIB A5.1 Guidance
PIB A5.2 Interest Rate Risk Capital Requirement
PIB A5.2 Guidance
PIB A5.2.1
PIB A5.2.2
PIB A5.2.3
PIB A5.2.4
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
PIB A5.3 Equity Risk Capital Requirement
PIB A5.3 Guidance
PIB A5.3.1
PIB A5.3.2
PIB A5.3.3
PIB A5.3.4
PIB A5.3.5
PIB A5.3.6
PIB A5.3.7
PIB A5.3.8
Derivation of Notional Positions
Depository receipts
Equity Swaps
Equity Futures and Forwards
Equity Options and Company Issued Warrants
Netting
PIB A5.3.19
Calculation of the Equity Risk Capital Requirement
PIB A5.3.20
PIB A5.3.21
The Concentration Test
Standard Method
Specific Risk
Simplified Method
PIB A5.4 Foreign Exchange Risk Capital Requirement
PIB A5.4 Guidance
PIB A5.4.1
PIB A5.4.2
Measuring the Net Open Position in a Single Currency
Measuring the Overall Net Open Position
Treatment of Accrued Interest and Expenses, Forwards, and Structural Positions
PIB A5.5 Commodities Risk Capital Requirement
PIB A5.5 Guidance
PIB A5.5.1
Calculation of Commodities Risk Capital Requirement
Treatment of Commodity Derivatives
Maturity Ladder Approach
Simplified Approach
PIB A5.6 Option Risk Capital Requirement
PIB A5.6 Guidance
PIB A5.6.1
Calculation of Option Risk Capital Requirement
Simplified Approach
Delta-Plus Method
PIB A5.7 Collective Investment Fund Risk Capital Requirement
PIB A5.7 Guidance
PIB A5.7.1
PIB A5.7.2
PIB A5.7.3
Calculation of the Collective Investment Fund Risk Capital Requirement
Look Through Methods
Standard Collective Investment Fund Look Through Method: General
Standard Collective Investment Fund Look Through Method: Index or Basket Funds
PIB A5.8 Securities Underwriting Risk Capital Requirement
PIB A5.8 Guidance
PIB A5.8.1
PIB A5.8.2
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
PIB A5.9 Use of Internal Models for Market Risk
PIB A5.9.1 Criteria for Use of Internally Developed Market Risk Models
PIB A5.9.2 Incremental Risk Charge (IRC) Model
PIB A5.9.3 Internal Model for Correlation Trading
Stress testing