CA-9.11.4
For banks applying the surcharge, the total market risk measure will equal a minimum of three times the internal model's general and specific risk measure plus a surcharge in the amount of either:
Banks using option (b) above are required to identify their sub-portfolios structure ahead of time and should not change it without the Central Bank's prior written consent.
26Techniques for separating general market risk and specific risk would include the following:
Equities:
The market should be identified with a single factor that is representative of the market as a whole, for example, a widely accepted broadly based stock index for the country concerned.
Banks that use factor models may assign one factor of their model, or a single linear combination of factors, as their general market risk factor.
Bonds:
The market should be identified with a reference curve for the currency concerned. For example, the curve might be a government bond
Banks may select their own technique for identifying the specific risk component of the
27 This would apply to sub-portfolios containing positions that would be subject to specific risk under the standardised approach.