A licensed central counterparty must—
| (a) |
use scenario analysis in conjunction with external data in order to evaluate— |
| (i) |
the central counterparty’s exposure to high-severity events; |
| (ii) |
the impact of deviations from the correlation assumptions embedded in the central counterparty’s operational risk measurement framework; |
| (iii) |
potential losses which may arise from multiple simultaneous operational risk loss events; |
| (b) |
have adequately skilled staff to— |
| (i) |
conduct the scenario analysis; |
| (ii) |
derive reasoned assessments of plausible severe losses; |
| (c) |
over time, in order to ensure the reasonableness of its risk measures and assessments, validate and re-assess the assessments of plausible severe losses generated through scenario analysis through comparison to actual loss experience. |
Superior Courts Act, 2013
