The EBA has published final RTS setting out quantitative and qualitative requirements under which the competent authorities may permit institutions to use the AMA for the calculation of own funds requirements for operational risk.
The CRR allows competent authorities to permit the use Advanced Measurement Approaches (AMA) for the calculation of own funds requirements for operational risk to those entities that meet certain quantitative and qualitative requirements. In this regard, the CRR contains a mandate addressed to the EBA to specify the assessment methodology under which the competent authorities may permit institutions to use the AMA.
To carry out this mandate, the EBA has published final RTS specifying the qualitative and quantitative requirements that shall be considered by competent authorities, which will replace the former guidelines published by the CEBS.
These RTS are aimed at ensuring that the operational risk measurement systems are based on a well-founded methodology, are effective in capturing institutions’ actual and potential operational risk, are reliable and robust in generating AMA regulatory capital requirements and are comparable across institutions.
The following is an analysis of the requirements that shall be considered by competent authorities under the RTS of the EBA.
The document published by the EBA is divided into three main sections: scope of operational risk, qualitative standards and quantitative standards.
Download the technical note by clicking here.
Latest technical notes released:
|Non-performing loans (NPLs) framework|
|Final Guidelines on ICAAP and ILAAP information collected for SREP purposes / Supervisory expectations and Draft Guides to the ICAAP and ILAAP|
|Overview of the impacts and potential lines of action after the Basel III reform|
|Basel III: Finalising post-crisis reforms|
|Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures|
© GMS Management Solutions, S.L., 2018. All rights reserved. The information contained on this publication is of a general nature and does not constitute a professional opinion or an advisory service. The data used in this publication come from public sources. GMS Management Solutions, SL assumes no liability for the veracity or accuracy of such data.