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 applying option (b) above are required to identify their sub-portfolios structure ahead of time and should not change it without the CBB's prior written consent.

⁸⁴ Techniques 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 yield curve or a swap curve; in any case, the curve should be based on a well-established and liquid underlying market and should be accepted by the market as a reference curve for the currency concerned.

Banks may select their own technique for identifying the specific risk component of the value-at-risk measure for purposes of applying the multiplier of 4. Techniques would include:

⁸⁵ This would apply to sub-portfolios containing positions that would be subject to specific risk under the standardised approach.