Treatment for Exceptional Situations
Effective from Dec 28 2022 - Dec 27 2022
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| 12.45 | There may, on very rare occasions, be a valid reason why a series of accurate trading desk level- models across different banks will produce many backtesting exceptions or inadequately track the P&L produced by the front office pricing model (for instance, during periods of significant cross-border financial market stress affecting several banks or when financial markets are subjected to a major regime shift). One possible SAMA response in this instance would be to permit the relevant trading desks to continue to use the IMA but require each trading desk’s model to take account of the regime shift or significant market stress as quickly as practicable while maintaining the integrity of its procedures for updating the model. SAMA will only pursue such a response under the most extraordinary, systemic circumstances. |