Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 17

Authorized institution shall only use STM approach, IMM approach or approach used by parent bank to calculate its market risk

Division 5—Prescribed approaches to calculation of market risk

(1) An authorized institution (other than an authorized institution exempted
under section 22(1))—

   (a)  subject to paragraphs (b) and (c), shall use the STM approach to
        calculate its market risk;

   (b)  subject to section 18(5), may use the IMM approach to calculate its
        market risk only if it has the approval to do so under section  18
        (2)(a);

   (c)  may use the approach used by the parent bank of the institution to
        calculate its market risk only if it has the approval to do so under
        section 20(2)(a).

(2) Subsection (1) does not prevent an authorized institution from using any
combination of the STM approach, the IMM approach and the approach used by its
parent bank to calculate its market risk if that combination is expressly
permitted by, and in accordance with, another section of these Rules.