Post on 21-Nov-2015
description
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
= ]]]
]]
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskRiskRiskRiskScopeScope
CommoditiesCommodities
Currencies
CommoditiesCommodities
Currencies
Fixed-Income
Currencies
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
= ]]]
]]
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green:
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
last three years,
( )
3
ii
Operational BIA
GIK
=
=
Basic Indicator Approach (BIA)
Standardized Approach (SA)
[ ]lines 1 8 lines 1-8last three years
max ( ),0
3i
SA
GIK
=
=
ASARetail VolumeComml Volume
Advanced MeasurementApproach (AMA)
ElementsMustHave
Elements Should Have
Loss DistributionApproach (LDA)
ScorecardApproach
(i,j) ( , ) ( , ) ( , )i j i j i jEI PE LGE Internal Measurement Approach (IMA)
InternalData
ExternalData
ScenarioAnalysis
Controls& Tools
Correlations
Mitigation
OperationalRisk
OperationalRisk
OperationalRisk
OperationalRisk
MarketRisk
MarketRiskScopeScope
Commodities
Currencies
Commodities
Currencies
Fixed-Income
Equities Banking Book
Trading Book
, , , ,StandardMRC MRCIR EQ FX CO OPt t=Standardized (sum the building blocks)
Internal Models Approach (IMA)
Qualitative Requirements Stress Testing
Backtesting
k +0.4 -1.0
Green: