The Eidgeno¨ssische Bankenkommission, the Swiss regulator, gives its requirements
in the document Richtlinien zur Eigenmittelunterlegung von Marktrisiken (Regulations
for Determining Market Risk Capital) (1997). The requirements are generally closely
in line with the Basel Committee requirements. Reporting of exceptions is on a
quarterly basis unless the number of exceptions is greater than 4, in which case, the
regulator must be informed immediately. The bank is free to choose whether dirty,
clean, or synthetic P&L are used for backtesting. The chosen P&L, however, must be
free from components that systematically distort the backtesting results.
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