Effective from Aug 31 2021 - Aug 30 2021 To view other versions open the versions tab on the right
In this section, banks should present the list of models utilized in the formulation of the ILAAP, giving relevant and appropriate details as given below:
i.
The key assumptions and parameters within the liquidity modeling work and background information on the derivation of any key assumptions.
ii.
How parameters have been chosen including the historical period used and the calibration process.
iii.
The limitations of the model.
iv.
The sensitivity of the model to changes in the key assumptions or parameters chosen.
v.
The validation work undertaken to ensure the continuing adequacy of the model.
vi.
Whether the model is internally or externally developed. If externally acquired, its generic name and details on the model developer.
vii.
The extent of its acceptance by other regulatory bodies, users in the international treasurers’ community, overall reputation and market acceptance.
viii.
Specific details on the applications within the bank.
ix.
Major merits and demerits of the chosen models.
x.
Results of the model validation obtained through:
-
Back testing / Scenario testing.
-
Analysis of the internal logic.
xi.
Major methodologies or statistical technique used, i.e. Value at risk models, employing methods such as variance/co-variance, historical simulation and Monte Carlo method.
xii.
Confidence levels embedded for regulatory liquidity or economic liquidity purposes.
xiii.
Data definition, i.e. whether the source is external or internal and if any data, manipulation of external data has been done for it to conform to the internal data.
