Combination of the internal model approaCombination of the internal model approach and the standard method

Combination of the internal model approach and the standard method

1. An ADI may, subject to APRA’s written approval, use a combination of the internal model approach and the standard method. In doing so, the ADI must comply with the requirements detailed in Attachment C.
2. An ADI must not use a combination of the two methodologies within a particular risk category (e.g. interest rates, foreign exchange, equities and commodities) and within the same regional centre without prior written approval from APRA.
3. APRA may require an ADI that has model approval that does not cover all risk categories to extend the internal model to cover other market risk categories.

Previous exercise of discretion

1. An ADI must contact APRA if it seeks to place reliance, for the purposes of complying with this Prudential Standard, on a previous exemption or other exercise of discretion by APRA under a previous version of this Prudential Standard.