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7.3 Internal Models: Pillar 1 and ILAAP Comparisons

No: 42012157 Date(g): 17/10/2020 | Date(h): 1/3/1442 Status: In-Force

Should the internal models vary from any regulatory methodologies approved for LCR and NSFR purposes, this section would provide a detailed comparison explaining both the methodological and parameterization differences between the internal models and the regulatory models and how those affect the liquidity measures for ILAAP purposes.

Further, the explanation of the differences between results of the internal models for LCR, NSFR would be set out at the level at which the ILAAP is applied. SAMA would expect the explanation to be sufficiently granular to show the differences at the level of each of the Pillar 1 risks.