National Environmental Management Act, 1998 (107 of 1998)
R 385
Financial Markets Act, 2012 (Act No. 19 of 2012)RegulationsFinancial Markets Act RegulationsChapter VI : Central Counterparties40. Review of models, stress testing and back testing40.2 Testing programmes |
A central counterparty must have policies and procedures in place that—
| (a) | detail the stress and back testing programmes it undertakes to assess the appropriateness, accuracy, reliability and resilience of the models and methodologies used to calculate its risk control mechanisms including margin, default fund contributions, and other financial resources in a wide range of market conditions; |
| (b) | detail the stress testing programme it undertakes to assess the appropriateness, accuracy, reliability and resilience of the liquidity risk management framework; |
| (c) | contain methodologies for the inclusion of the selection and development of appropriate testing, including portfolio and market data selection, the regularity of the tests, the specific risk characteristics of the securities cleared, the analysis of testing results and exceptions and the relevant corrective measures needed. |
