RWA for Market Risk
| No: 44047144 | Date(g): 27/12/2022 | Date(h): 4/6/1444 | Status: In-Force |
Effective from Jan 01 2023 - Dec 31 2022
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| 5.5 | RWA for market risk is calculated as the sum of the following: | |||
| (1) | RWA for market risk for instruments in the trading book and for foreign exchange risk and commodities risk for exposures in the banking book, calculated using one or more of the following approaches: | |||
| (a) | The standardized approach for market risk, set out in chapters 6 to 9 of SAMA Minimum Capital Requirements for Market Risk; | |||
| (b) | The internal models approach (IMA) for market risk, set out in chapters 10 to 13 of SAMA Minimum Capital Requirements for Market Risk; or | |||
| (c) | The simplified standardized approach for market risk, set out in chapter 14 of SAMA Minimum Capital Requirements for Market Risk. | |||
| (2) | RWA for credit valuation adjustment (CVA) risk in the banking and trading book, calculated using one of the following methods set out in chapter 11 of SAMA CCR and CVA Framework: | |||
| (a) | The basic approach to CVA risk (BA-CVA). | |||
| (b) | The standardized approach to CVA risk (SA-CVA). | |||
| (c) | 100% of the bank's RWA for counterparty credit risk, for banks that have exposures below a materiality threshold (see paragraph 9 of chapter 11 in SAMA CCR and CVA Framework). | |||