IFRS requires banks to compute different risks including market risk based on Basel iii.

To do so, the capital requirement is defined as follows:

$$max(VaR_{t−1},m_c × VaR_{avg}) + SRC$$

$SRC$ is a specific risk charge. How to calculate specific risk charge?

  • $\begingroup$ Specific Risk Charge, as far as I am concerned, is a non quantifiable risk, and might vary across different banks (idiosyncratic). It might not be present due to strict financial criteria $\endgroup$ – Bougias A. May 11 at 17:49

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