2

Use of Internal Models: Risk Capture

2.1

A firm which has a permission to use internal models in accordance with Title IV, Chapter 5 of the CRR:
  1. (a) must identify any material risks, or risks that when considered in aggregate are material, which are not captured by those models; and
  2. (b) must ensure that it holds own funds to cover those risk(s) in additional to those required to meet its own funds requirement calculated in accordance with Title IV, Chapter 5 of the CRR.