The minimum capital requirement for market risk may be calculated according to:
the simplified standardised approach for market risk;
the standardised approach for market risk; or
the model-based approach for market risk.
The model-based approach and the standardised approach for market risk may be combined. When calculating minimum capital for market risk on a consolidated basis, combination with the simplified approach is also possible, provided that such approach is applied by financial entities which belong to the group and are to be consolidated, and whose market risk is insignificant on a consolidated basis.
The minimum capital requirement for the following exposures must not be calculated using the model-based approach for market risk:
securitisations;
units in managed collective assets that are allocated to the trading book in accordance with Article 5 paragraph 3 letter c, and for which it is not possible to accurately identify the underlying investments.