Download:
pdf |
pdfInstitution Name:
Internal Data Template
A
B
C
Date
Reference Date of
Number Occurrence
1
Date of
Financial
Impact
D
E
F
Business Line
Basel Level II
if Available,
Otherwise
Date of
Internal
Discovery Basel Level I1 Business Line
G
H
Event Type2
Basel
Level I
Basel
Level II
I
J
K
Gross Loss
Amount net
of all
Recoveries
Gross Loss
except
Amount
Insurance Currency3
See Table 1 for a list of codes that should be used to refer to Basel business lines. If Basel Business Line is not available,
please provide a mapping of internal business lines to Basel business lines on a best efforts basis in the next worksheet.
2
See Table 2 for a list of codes that can be used to refer to event types.
3
Please use the three character currency abbreviations (ISO 4217 standard) found at http://www.xe.com/iso4217.php.
L
M
N
Country of Insurance Insurance
Origin if Coverage Recovery
Amount
Y/N/NA
Available
O
Used in
AMA
Model
(Y/N)
Business Line Mapping
Internal
Basel
Business Line Business Line
Table 1: Business Line Codes
Level I Business Line
Level 2 Business Lines
Name
Code
Corporate Finance
BL1
Trading & Sales
BL2
Retail Banking
BL3
Commercial Banking
Payment and Settlement
BL4
BL5
Agency Services
BL6
Asset Management
BL7
Retail Brokerage
BL8
Name
Corporate Finance
Municipal/Government Finance
Merchant Banking
Advisory Services
Sales
Market Making
Proprietary Positions
Treasury
Retail Banking
Private Banking
Card Services
Commercial Banking
External Clients
Custody
Corporate Agency
Corporate Trust
Discretionary Fund Management
Non-Discretionary Fund Management
Retail Brokerage
Code
BL11
BL12
BL13
BL14
BL21
BL22
BL23
BL24
BL31
BL32
BL33
BL41
BL51
BL61
BL62
BL63
BL71
BL72
BL81
Table 2: Event-Type Category Codes
Level 1 Event-Type Categories
Name
Code
Internal fraud
ET1
External fraud
ET2
Employment Practices and Workplace Safety ET3
Clients, Products & Business Practices
ET4
Damage to Physical Assets
Business disruption and system failures
ET5
ET6
Execution, Delivery & Process Management
ET7
Level 2 Event-Type Categories
Name
Unauthorised Activity
Theft and Fraud
Theft and Fraud
Systems Security
Employee Relations
Safe Environment
Diversity & Discrimination
Suitability, Disclosure & Fiduciary
Improper Business or Market Practices
Product Flaws
Selection, Sponsorship & Exposure
Advisory Activities
Disasters and other events
Systems
Transaction Capture, Execution & Maintenance
Monitoring and Reporting
Customer Intake and Documentation
Customer / Client Account Management
Trade Counterparties
Vendors & Suppliers
Code
ET11
ET12
ET21
ET22
ET31
ET32
ET33
ET41
ET42
ET43
ET44
ET45
ET51
ET61
ET71
ET72
ET73
ET74
ET75
ET76
Percentile Approach
Cells for data input are shaded green.
Institution Name:
Section 1.
Scenario
Reference
Line 10. Number
Units of Currency (eg thousands, millions):
Section 2. Frequency
(Events per year)
Section 3. Severity
Mean or
Percentile 2
Mean or
Percentile 1 (if applicable) Percentile 1 Percentile 2 Percentile 3 Percentile 4
Add columns for
additional percentiles as necessary
Section 4.
Currency1
Section 5. Basel Section 6.
Business
Internal
Business Line
Line2
Section 8.
Section 7.
Used in
Basel
Event AMA Model Section 9.
3
Brief Description of Loss
Type
(Y/N)
Insert additional rows as necessary.
Please use the three character currency abbreviations (ISO 4217 standard) found at http://www.xe.com/iso4217.php.
See Table 1 for a list of codes that should be used to refer to Basel business lines. If Basel Business Line is not available, please provide a mapping of internal business lines to Basel business lines on a best efforts basis in the Internal Business Line Mapping
worksheet.
3
See Table 2 for a list of codes that can be used to refer to event types.
1
2
Interval Approach
Cells for data input are shaded green.
Institution Name:
Units of Currency (eg thousands, millions):
Section 1.
Section 2.
Interval 1
Scenario
Reference
Number
Severity
Low
High
Interval 2
Frequency
Low
High
Severity
Low
High
Interval 3
Frequency
Low
High
Severity
Low
High
Frequency
Low
High
Add additional
intervals
as necessary
Section 4.
Section 3. Basel Business
Currency1
Line2
Section 5.
Internal
Business
Line
Section 6.
Basel
Event
Type3
Section 7.
Used in
AMA
Model
(Y/N)
Insert additional rows as necessary.
Please use the three character currency abbreviations (ISO 4217 standard) found at http://www.xe.com/iso4217.php.
2
See Table 1 for a list of codes that should be used to refer to Basel business lines. If Basel Business Line is not available, please provide a mapping of internal business lines to Basel business lines on a best efforts
basis in the Internal Business Line Mapping worksheet.
3
See Table 2 for a list of codes that can be used to refer to event types.
1
Individual Scenario Approach
Cells for data input are shaded green.
Institution Name:
Units of Currency (eg thousands, millions):
Section 1.
Scenario
Reference
Number
Section 8.
Section 2.
Frequency
Section 3.
Loss
Amount
Section 5.
Basel
Section 4. Business
Currency1 Line2
Section 6.
Basel
Business Line
Section 7.
Basel
Event
Type3
Used in
AMA Model Section 9.
(Y/ N)
Brief Description of Loss
Insert additional rows as necessary.
Please use the three character currency abbreviations (ISO 4217 standard) found at http://www.xe.com/iso4217.php.
2
See Table 1 for a list of codes that should be used to refer to Basel business lines. If Basel Business Line is not available, please provide a mapping of internal
business lines to Basel business lines on a best efforts basis in the Internal Business Line Mapping worksheet.
3
See Table 2 for a list of codes that can be used to refer to event types.
1
SCENARIO TEMPLATE EXAMPLES
Percentile Approach Example
The largest scenarios for the percentile approach should be determined according to the values reported for the rightmost percentile that your institution has provided. For these example data, scenario number 3 would be considered
the largest scenario as it has the largest value in the “Percentile 4” column.
Severity
Frequency (Events per year)
Used in
Brief Description of
Basel II
Basel II
AMA
Percentile 2 (if
Scenario
Mean or Percentile 1
Loss (largest 20
Mean or Percentile 1
Percentile 3
Percentile 4
Business
EventPercentile 2
Currency
Model
applicable)
#
scenarios only)
Line
Type
(Y/N)
75%
Mean
95%
99%
NA
90%
Misdirected wire
2,500
10,000
20,000
100
30,000
1
EUR
BL3
ET7
N
transfer
Failure to follow
300,000
600,000
900,000
10
5,000,000
2
EUR
BL8
ET7
Y customer trading
instructions
250,000
10,000,000
500,000
0.1
750,000
3
EUR
BL2
ET1
Y Rogue trading
Interval Approach Example
The largest scenarios for the interval approach should be determined according to the values reported for the upper bound of the rightmost interval that your institution has provided. For these example data, scenario number 3 would
be considered the largest scenario as interval 3 does not have an upper bound. Scenario number 2 would be considered the next largest scenario, as it has the same rightmost interval as scenario 1 but has a higher frequency.
Interval 1
Scenario
#
Severity
Low
Interval 2
Frequency
Low
High
High
Low
Severity
High
Interval 3
Frequency
Low
High
Severity
Low
Currency
Frequency
Low
High
High
Basel II
Business
Line
Basel II
EventType
1
1,000
10,000
576
576
10,000
100,000
50
50
100,000
1,000,000
4
4
USD
BL1
ET4
2
1,000
10,000
100
100
10,000
100,000
10
10
100,000
1,000,000
5
5
USD
BL2
ET1
3
1,000
10,000
10
10
10,000
100,000
1
1
100,000
0.4
0.6
USD
BL3
ET4
-
Individual Scenario Approach
The largest scenarios for the individual scenario approach should be determined according to the values reported for the loss amount. For these example data, scenario
number 3 would be considered the largest scenario and scenario number 2 would be considered the next largest scenario.
Scenario
#
Frequency
Severity
Currency
Basel II Business Line
Basel II Event-Type
Used in
Brief Description of Loss (largest 20
AMA Model
scenarios only)
(Y/N)
1
100
10,000
USD
BL3
ET7
N Misdirected wire transfer
2
10
99,000
USD
BL3
ET7
Y
3
0.1
10,000,000
USD
BL2
ET1
Y Rogue trading
Failure to follow customer trading
instructions
Used in
AMA
Model
(Y/N)
Brief Description of
Loss (largest 20
scenarios only)
Misdirected wire
transfer
Failure to follow
Y customer trading
instructions
Y Rogue trading
N
Business Line Mapping
Internal
Basel
Business Line Business Line
Table 1: Business Line Codes
Level I Business Line
Name
Level 2 Business Lines
Code
Corporate Finance
BL1
Trading & Sales
BL2
Retail Banking
BL3
Name
Code
Corporate Finance
BL11
Municipal/Government Finance
BL12
Merchant Banking
BL13
Advisory Services
BL14
Sales
BL21
Market Making
BL22
Proprietary Positions
BL23
Treasury
BL24
Retail Banking
BL31
Private Banking
BL32
Card Services
BL33
Commercial Banking
BL4
Commercial Banking
BL41
Payment and Settlement
BL5
External Clients
BL51
Agency Services
BL6
Asset Management
BL7
Retail Brokerage
BL8
Custody
BL61
Corporate Agency
BL62
Corporate Trust
BL63
Discretionary Fund Management
BL71
Non-Discretionary Fund Management
BL72
Retail Brokerage
BL81
Table 2: Event-Type Category Codes
Level 1 Event-Type Categories
Name
Level 2 Event-Type Categories
Code
Internal fraud
ET1
External fraud
ET2
Employment Practices and Workplace Safety
Clients, Products & Business Practices
ET3
ET4
Name
Code
Unauthorised Activity
ET11
Theft and Fraud
ET12
Theft and Fraud
ET21
Systems Security
ET22
Employee Relations
ET31
Safe Environment
ET32
Diversity & Discrimination
ET33
Suitability, Disclosure & Fiduciary
ET41
Improper Business or Market Practices
ET42
Product Flaws
ET43
Selection, Sponsorship & Exposure
ET44
Advisory Activities
ET45
Damage to Physical Assets
ET5
Disasters and other events
ET51
Business disruption and system failures
ET6
Systems
ET61
Transaction Capture, Execution & Maintenance
ET71
Monitoring and Reporting
ET72
Customer Intake and Documentation
ET73
Customer / Client Account Management
ET74
Trade Counterparties
ET75
Vendors & Suppliers
ET76
Execution, Delivery & Process Management
ET7
Accord Implementation Group
Operational Risk Working Group
Attachment A
Supplemental Internal Loss Data and Scenario Analysis
Questionnaire
INPUT DOCUMENT
April 2008
1/8
Attachment A
Supplemental Internal Loss Data and Scenario Analysis
Questionnaire
Institution Name:
Operational Risk Capital Estimates provided in Attachment B were calculated using
the
approach
Internal Loss Data
1. What loss data collection threshold(s) are used in your internal loss database?
Unit of Collection
Threshold
Threshold Currency
Note:
The unit of collection is the level at which the threshold is applicable. For example, group-wide, business
line, event type, or business line/event type combination are units of collection.
The threshold is the gross loss amount above which loss data are collected.
Please use the three character currency abbreviations (ISO 4217 standard) found at
http://www.xe.com/iso4217.php when filling out the Threshold Currency.
2. If there are any internal losses in the database that are not directly used for modelling
operational risk capital, please provide the following:
(a) Losses below a threshold of
in currency
are not
used for modelling operational risk capital. If multiple thresholds are used,
provide only the value of the highest threshold.
(b) Losses not used for modelling operational risk capital fall in the date range of
to
. Please use dd/mm/yyyy format.
(c) If other losses (from certain subsidiaries, business lines or countries) are not
used for modelling operational risk capital, please explain.
2/8
3. Do the internal loss data submitted include any aggregate losses for very low impact
events with high frequency?
Yes
No
If Yes, please explain how these aggregate losses can be identified in the data
(eg via a special format of the reference number)
Note:
Aggregate losses for very low impact/high frequency events are losses that do not represent an
individual loss, but the sum of many small losses. This definition does not refer to multiple losses associated
with the same event.
4. If there are any gaps in the internal loss data provided, please select all of the types of
data issues that are relevant:
Excluded data for all or part of the following business lines (please select all
that apply):
Corporate Finance
Commercial Banking
Asset Management
Trading and Sales
Payment and Settlement
Retail Brokerage
Retail Banking
Agency Services
Other - Please specify:
Excluded data for all or part of the following event types (please select all that
apply):
Internal Fraud
Clients, Products &
Business Practices
Execution, Delivery
& Process Management
External Fraud
Damage to Physical
Assets
Business Disruption
& System Failures
Other - Please specify:
Employment Practices
& Workplace Safety
Time periods in which data collection was incomplete (please provide date
range)
to
. Please use dd/mm/yyyy format.
Time periods that do not reflect merger and acquisition activity (please
provide date range)
to
. Please use dd/mm/yyyy
format.
Other - please specify:
Note:
Merger and acquisition activity may not be reflected in the loss data either because the acquired institution
did not collect loss data for the same period as the reporting institution or the reporting institution had not yet
added loss data from the acquired institution to its own loss database.
3/8
5. Internal Loss Data Capture of Legal Events:
5.1 Please select when legal events are first entered into the internal loss database
(with or without loss amounts) provided for this exercise.
At discovery
Upon establishing a legal reserve
At settlement, or
Other - please specify:
5.2 Please select when loss amounts from legal events are first entered into the
database provided for this exercise.
At discovery
Upon establishing a legal reserve
At settlement, or
Other - please specify:
Note:
Loss amounts from legal events, or settlements due to operational risk events, do not include
“timing impacts.” For the purpose of this exercise, a timing impact is a temporary distortion to the
aggregate profit and loss statement of a banking organization in a particular reporting period that
can be fully corrected when later discovered. It results in profit and/or loss being shifted from one
period to another.
5.3 When are loss amounts from legal events used as a direct input to the AMA
model?
At discovery
Upon establishing a legal reserve
At settlement, or
Other - please specify:
4/8
6. Please select the methodology used to allocate losses impacting multiple business lines:
Allocating the entire loss to the business line for which the impact is greatest
Allocating the loss on a pro-rata basis, or
Other allocation methodology - please specify:
No allocation method
Note:
No allocation method means that losses are not assigned to specific business lines. If losses impacting
multiple business lines are recorded in a category such as corporate centre, corporate operations, or 'other',
then option (d) for “no allocation method” should be selected.
7. Indicate what any negative loss amounts represent in the submitted loss data.
(select all that apply)
Recoveries
Misses that brought about profits
Other - please specify:
Note:
Misses are operational risk events (eg failed controls, potential system failures, etc.) occurring within the
organization that did not result in a loss, but a net gain to the institution.
8. Please briefly identify any inconsistencies between the internal loss data submitted and
the information requested in the exercise. Examples of inconsistencies include reporting
dates in quarter-year format rather than in day-month-year format; using a full-text
currency name rather than the three character currency codes; or reporting numeric
variables in thousands rather than ones.
Note:
Inconsistencies would generally arise if an institution is submitting a copy of the dataset prepared for
submission to a consortium.
5/8
Scenario Analysis
1. Please indicate which scenarios you have provided in the scenario template:
All operational risk scenarios that are currently in use within the organization
The twenty largest scenarios
Other - please specify:
Note:
The twenty largest scenarios refers to (i) at least the 20 highest-severity scenarios where at least 20 of
these scenarios are expected to happen once or more every 1,000 years (ie with a mean annual frequency
greater or equal to 0.001) and (ii)the five highest-severity scenarios for each of the seven Level I Basel II
event types (if available).
2. Skip Question 2 if you provided all of your operational risk scenarios. Otherwise provide
the total number of scenarios (group-wide) that are currently in use within the operational
risk framework:
If your operational risk scenarios are mapped to Basel business lines, please provide the
total number of scenarios by Basel business line:
Corporate Finance
Payment & Settlement
Trading & Sales
Agency Services
Retail Banking
Asset Management
Commercial Banking
Retail Brokerage
If your operational risk scenarios are mapped to Basel event types, please provide the
total number of scenarios by Basel event type:
Internal Fraud
Damage to Physical Assets
External Fraud
Business Disruption &
System Failures
Employment Practices & Workplace Safety
Clients, Products & Business Practices
Execution Delivery &
Process Management
3. Select the data sources that are used as inputs in the scenario development process
(select all that apply):
Internal loss data
External loss data
Financial indicators
Other - please specify:
6/8
4. Select which method(s) are used to gather scenario data (select all that apply):
Workshops involving multiple employees/units
A series of individual meetings/interviews
Questionnaires
Voting
Other - please specify:
5. Which of the following types of scenarios are developed? (select all that apply)
Group-wide scenarios that may affect the entire organization
Scenarios that are specific to major internal business lines
Scenarios that are specific to subgroups of major internal business lines
Other - please specify:
6. Select all respondents' biases (under or over estimation) explicitly addressed as part of
the scenario process:
Partition Dependence – the respondents’ knowledge was distorted by discrete
choices or buckets within which their responses had to be represented
Availability – overestimation of events the respondents had closer or more
recent contact with
Anchoring – respondents’ bias towards information presented in background
material to the questions or within the questions themselves
Motivational – misrepresentation of information due to respondents’ interests in
conflict with the goals and consequences of the assessment
Overconfidence - underestimation of risk due to the number of observed
events being small
Other - please specify:
7. Please briefly identify any inconsistencies between the scenario data requested and the
scenario template submitted. Examples of inconsistencies include using a full-text
currency name rather than the three character currency codes.
Note:
Inconsistencies would generally arise if an institution is submitting a copy of the dataset prepared for
submission to a consortium.
7/8
Participating Institutions
Save preliminary work by using the menu option File | Save As … Please include the name
of the institution in the file name. When you have finished answering the Attachment's
questions, please save the document (PDF) and send it to your national supervisor, using
the procedures provided to your institution.
Participating National Supervisors
Save preliminary work by using the menu option File | Save As … Please use the appropriate
anonymous identifier you choose as the file name. When you have finished answering the
Attachment's questions, please upload the document (PDF) onto the secured Basel website.
8/8
Accord Implementation Group
Operational Risk Working Group
Attachment B
Exposure Indicators and Capital Estimates
All information submitted in this document will be
used only by an instution's National Supervisor
INPUT DOCUMENT
April 2008
1/4
Attachment B
Exposure Indicators and Capital Estimates
Institution Name:
Local Currency:
(Three character currency abbreviations (ISO 4217 standard) found
at http://www.xe.com/iso4217.php)
Exposure Indicators:
1.
Please provide total consolidated group-wide on-balance sheet assets
(in thousands of local currency) as of 31 December 07:
2.
Please provide the amount of consolidated group-wide gross income (in thousands
of local currency) for the year ended 31 December 07:
Note:
Gross income is defined as net interest income plus net noninterest income as in paragraph
650 of the Basel II Framework.
3.
Please provide the amount of consolidated group-wide Tier 1 capital
(in thousands of local currency) as of 31 December 07:
4.
Please provide gross income information at the consolidated group-wide for each of
the following business lines (in thousands of local currency) for the year ended 31
December 07:
Business Line
Corporate Finance
Trading & Sales
Gross Income
Retail Banking
Commercial Banking
Payment & Settlement
Agency Services
Asset Management
Retail Brokerage
Other (please define)
Note:
Business lines are the Level I Basel business lines set forth in Annex 8 of the Basel Framework.
For purposes of this question, Gross Income is measured for each business line, not the whole
institution. As noted in paragraph 653 of the Basel II Framework, business line gross income is a
broad indicator that serves as a proxy for the scale of business operations and thus the likely scale
of operational risk exposure within each of these business lines.
2/4
AMA Capital Estimates:
For institutions using the AMA approach, please provide the total amount of AMA regulatory
operational risk capital as of 31 December 07 and the following adjustments/offsets (please
submit in thousands of local currency):
1. AMA Operational Risk Capital after including all
dependence assumptions and offset adjustments
a. AMA Operational Risk Capital assuming full
independence, if available
b. AMA Operational Risk Capital calculated as the sum
of capital from each of the Operational Risk Categories
(ORCs)), if available
c.
AMA Operational Risk Capital without including any
offsets for expected loss
d.
AMA Operational Risk Capital without including any
offsets for insurance risk mitigants
e.
AMA Operational Risk Capital without including any
offsets for other risk mitigants
2. Gross AMA Regulatory Operational Risk Capital before
all dependence assumptions and offset adjustments, if
available.
3. Operational Risk Capital from `Partial Use,' if any
(Basic indicator and/or the Standardized Approach)
4. Total Reported Regulatory Operational Risk Capital
(1. + 3.)
5. Amount of expected loss included in 1. above
Note:
AMA regulatory operational risk capital is the capital calculated for regulatory consideration/approval.
The AMA Operational Risk Capital assuming full independence should include all other offset adjustments.
The AMA Operational Risk Capital calculated as the sum should include all other offset adjustments.
Operational Risk Categories (ORCs) are the level or unit of measure at which separate capital calculations are
made, for example, at the business line or event type level, or at a level that is a combination of the two.
3/4
AMA Operational Risk Capital without including any offsets for insurance risk mitigants should include all
other offset adjustments as well as all dependence/correlation assumptions.
AMA Operational Risk Capital without including any offsets for other risk mitigants should include all other
offset adjustments as well as all dependence/correlation assumptions.
TSA Capital:
1.
For Standardized Approach (TSA) institutions - please provide the total TSA capital
(in thousands of local currency) as of 31 December 07:
BIA Capital:
1.
For Basic Indicator Approach (BIA) institutions - please provide the total BIA capital
(in thousands of local currency) as of 31 December 07:
Participating Institutions
Save preliminary work by using the menu option File | Save As … Please include the name
of the institution in the file name. When you have finished answering the Attachment's
questions, please save the document (PDF) and send it to your national supervisor, using
the procedures provided to your institution.
Participating National Supervisors
Save preliminary work by using the menu option File | Save As … Please use the appropriate
anonymous identifier you choose as the file name. When you have finished answering the
Attachment's questions, please upload the document (PDF) onto the secured Basel website.
4/4
Accord Implementation Group
Operational Risk Working Group
Attachment C
Supplemental Range of Practice Questionnaire
INPUT DOCUMENT
April 2008
1 / 10
Attachment C
Supplemental Range of Practice
Questionnaire
Institution Name:
Local Currency:
Completed by the institution or national supervisor?
Overall Framework:
1. Please provide the direct effect that each of the four elements has on the institution's
final operational risk capital figure as of 31 December 2007, using a XX.X% format:
(a) Internal loss data:
Please indicate percentage
or, if estimating,
please indicate a range from
(b) External loss data:
Please indicate percentage
.
or, if estimating,
please indicate a range from
(c) Scenario Analysis:
Please indicate percentage
to
.
or, if estimating,
please indicate a range from
(d)
to
BEICF:
Please indicate percentage
to
.
or, if estimating,
please indicate a range from
to
.
Note:
If available, each of the four element's effects should be reported as the marginal impact on capital added to
the effect of the other elements. If readily available, please use the results of separate calculations for the
percentage each element contributes to the amount of operational risk capital. If separate calculations are not
available, please provide the best estimate of the element's direct effect.
Direct effects are inputs that directly inform the computational methodology (ie using external loss data as
data points in the model used to quantify operational risk capital). If the element is not used directly, a zero
weight should be assigned. If an approximate figure is not available, please provide a range, for example less
than 25%; from 25 to 50%; etc.
2 / 10
2. How many Operational Risk Categories (ORCs) are defined in the AMA model?
Please specify the number in all applicable categories:
(a)
Identify the number of total ORCs
. Please use an integer format.
(b)
Indicate the number of ORCs based only on business lines
Please use an integer format.
(c)
Indicate the number of ORCs based only on event types
Please use an integer format.
(d)
The number of ORCs based on a combination of business lines and event
types
. Please use an integer format.
(e)
The number of ORCs based on other criteria
format. Please list the criteria:
.
.
. Please use an integer
Note:
An Operational Risk Category is the level (for example, organizational unit, operational loss event type, risk
category, etc.) at which the institution's quantification model generates a separate distribution for estimating
potential operational losses.
3. Choose the approach that is used to estimate the severity distribution:
Applying one single distribution model for all the data (based on a single
distribution or a mixture of distributions)
Applying one single model based on two separate distribution models for the
body and tail
Applying two separate distribution models for high frequency/low severity
and low frequency/high severity losses
Others - please specify:
4. What severity distributions were used in the most recent capital calculation? Please
indicate (b) for the body; (t) for the tail and (d) for all the entire distribution:
Select b, t and/or d
Severity Distribution
LogNormal
b
t
d
Gamma
b
t
d
Generalized pareto
b
t
d
Weibull
b
t
d
g and h
b
t
d
Generalized beta
b
t
d
Mixture of LogNormal-Gamma
b
t
d
Mixture of LogNormal
b
t
d
Empirical distribution
b
t
d
Others (please specify)
b
t
d
3 / 10
5. What frequency distributions were used in the most recent capital calculation?
(select all that apply)
Poisson
Negative Binomial
Others - please specify:
6. For the dependence analytical model used:
6.1 What data sources were used to estimate dependence? (select all that apply)
Dependence not modelled or estimated
Internal loss data
External loss data
Scenario data
Expert judgement
Other - please specify:
6.2 What source of dependence was calculated and used as an input to the model?
(select all that apply)
Frequency
Severity
Aggregate losses
Other - please specify:
7.
Describe how correlations are introduced in the analytical model.
(select all that apply)
Copula model - please specify type
Correlation matrix
Others - please specify:
Note:
Correlation matrix should be selected if used in a different way than the copula model.
4 / 10
8. What are the primary uses for the following data items in the operational risk capital
model? (select all that apply)
Internal Loss
Data
Scenario
Data
External Loss
Data
As severity for high frequency / low
severity events
As severity for low frequency / high
severity events
As severity for the entire distribution
As frequency for high frequency / low
severity events
As frequency for low frequency / high
severity events
As frequency for the entire distribution
Other (please specify)
9. What loss amount is used as an input to the AMA model? (select all that apply)
Gross loss before any recoveries
Gross loss after all recoveries except insurance recoveries
Net loss (gross loss net of all recoveries)
Other - please specify:
5 / 10
10. What circumstances would trigger an update of scenarios or external loss data between
review dates? (select all that apply)
Circumstance:
Scenario Analysis
External Loss Data
New business or new product
Major operational loss
Major change in computer
systems
Major change in organization
(includes reorganizations,
mergers, and acquisitions)
Major change in operations
Outsourcing
Other (please specify)
11. Which applicable characteristics of the challenge function(s) (eg internal audit, external
audit, use of subject matter experts, etc.) are used to maintain the integrity of each data
element? (select all that apply)
Internal
Loss Data
Review by a Risk Control
Function
Review by Internal or
External Audit
Review by Business peers
Comparison with other data
element(s)
Comparison with experience
or expertise
Not-defined
Other (please specify)
6 / 10
Scenario
Analysis
External
Loss Data
BEICFs
12. How are scenario data incorporated into the AMA framework? (select all that apply)
Scenarios are used only for risk management purposes
Separate capital calculations are run for scenarios and for internal loss data
(and external loss data if applicable)
Single impact scenario estimates (ie individual scenario data points) are
directly included as a supplement to internal loss and external data points in
the capital calculation
Simulated data from a scenario-generated distribution are included as a
supplement to internal loss and external loss data points in the capital
calculation
Scenarios are applied only as qualitative adjustments to model outputs
The model is based only on scenarios
Other - please specify:
Note:
Models based on scenarios do not directly use internal loss or external loss data in the quantification process.
External Loss Data
1. How are external loss data incorporated into the AMA framework? (select all that apply)
Separate calculations are run for internal loss and external loss data in the
AMA calculation
External loss data points are directly included as a supplement to internal
loss data in the AMA calculation
The AMA calculation is based only on external loss data
As an input into scenario analysis
As an input into business environment and internal control factor tools
For risk management purposes
2. Select the sources of external loss data that are used in the AMA framework (select all
that apply):
In-house database from public sources such as newspapers, magazines
and trade journals
Industry consortia. Please provide names of consortia
;
;
External loss data from vendors. Please provide vendors used
;
;
Other - please specify:
7 / 10
3. What process is used to select external losses from the data source?
(select all that apply):
Selection by industry, business line or institution size (eg asset, revenues)
Selection by geography
Selection by threshold (please specify threshold level
)
Other - please specify:
4. What process is used to scale external loss data? (select all that apply):
Adjustment for size (eg asset, revenues)
Other - please specify
Scaling not performed
BEICFs
1. How are BEICFs utilized at the institution? (select all that apply)
Risk management purposes.
Risk quantification – indirect input (eg to inform scenario analysis).
Risk quantification – direct input into model in parallel with other data
elements (ie prior to the calculation of any exposure estimates).
Risk quantification – ex post adjustment to calculated exposure estimates at
the consolidated level (eg qualitative adjustment factors).
Risk quantification – ex post adjustment to calculated exposure estimates at
the business line level.
Not used.
Other - please specify:
8 / 10
2. Please indicate the potential impact that BEICF tools have on the institution's operational
risk capital. (select all that apply)
Indicate the largest possible increase in operational risk capital:
(in percent XX.X% format) or
No limit
Indicate the largest possible decrease in operational risk capital:
(in percent XX.X% format) or
No limit
Not used for quantification
3. How are the following BEICF tools used? (select all that apply)
Used for Risk
Management
Purposes
Used directly or indirectly
for Risk Quantification
Not used
Risk and Control Self
Assessments
KRI/KPIs
Audit Scores/
Audit Findings
Other (please specify)
4. How often is each BEICF tool updated? (please check the appropriate boxes for each
BEICF tool)
Annually
BEICF Tool
Semi-
Quarterly
Monthly
More
Reviewed
annually
to Semi-
to
frequently
when
to
annually
Quarterly
than
triggered
Annually
Monthly
Risk and Control
Self Assessments
KRI/KPIs
Audit Scores/
Audit Findings
Other
(please specify)
9 / 10
Not
used
5. Please provide the names of up to three Key Risk/Key Process Indicators that are
particularly useful for each of the following business lines and/or at the group level:
Business Line
KRI/KPI
KRI/KPI
KRI/KPI
Corporate Finance
Trading & Sales
Retail Banking
Commercial Banking
Payment & Settlement
Agency Services
Asset Management
Retail Brokerage
Group level (if used)
Note:
Please provide the KRI/KPI the institution uses that best match the business lines noted above.
Group level is defined as the highest management level of the organization.
Participating Institutions
Save preliminary work by using the menu option File | Save As … Please include the name
of the institution in the file name. When you have finished answering the Attachment's
questions, please save the document (PDF) and send it to your national supervisor, using
the procedures provided to your institution.
Participating National Supervisors
Save preliminary work by using the menu option File | Save As … Please use the appropriate
anonymous identifier you choose as the file name. When you have finished answering the
Attachment's questions, please upload the document (PDF) onto the secured Basel website.
10 / 10
File Type | application/pdf |
File Modified | 2020-04-05 |
File Created | 2008-07-14 |