CA-14.10.3
Notwithstanding the goal of moving to comprehensive internal models as set out in Paragraph CA-14.10.1, for
(a) Each broad risk factor category must be assessed by applying a single approach (either internal models or the standardised approach), i.e., no combination of the two methods will, in principle, be permitted within a risk factor category or across a conventional bank licensee's different entities for the same type of risk;
(b) All of the criteria laid down in this Chapter apply to the models being used;
(c) Conventional bank licensees may not modify the combination of the two approaches which they are applying, without justifying to the CBB that they have a valid reason for doing so, and obtaining the CBB's prior written approval;
(d) No element of market risk may escape measurement, i.e. the exposure for all the various risk factors, whether calculated according to the standardised approach or internal models, would have to be captured; and
(e) The capital charges assessed under the standardised approach and under the models approach must be aggregated applying the simple sum method.
January 2015