Shearman & Sterling LLP | Financial Regulatory Developments Focus | EU Regulatory Technical Standards Published on Assessment Methodology For Use of Advanced Measurement Approaches for Calculating Operational Risk Capital Requirements
Financial Regulatory Developments Focus
This links to the home page
Blog
FILTERS
  • EU Regulatory Technical Standards Published on Assessment Methodology For Use of Advanced Measurement Approaches for Calculating Operational Risk Capital Requirements
    07/06/2018
    A Commission Delegated Regulation has been published in the Official Journal of the European Union, which supplements the Capital Requirements Regulation with Regulatory Technical Standards on the assessment methodology to be used by national regulators when deciding whether to permit institutions to use Advanced Measurement Approaches for operational risk. The RTS cover: (i) the qualitative and quantitative criteria that firms must meet before they are granted permission to use AMA models for calculating their capital requirements to cover operational risk; (ii) the criteria for the supervisory assessment of key methodological components of the operational risk measurement system; and (iii) common standards for the supervisory assessment of a bank’s operational risk governance.

    The Delegated Regulation was made by the European Commission on March 14, 2018 and is based on final draft RTS submitted to the European Commission by the European Banking Authority in June 2015. The Delegated Regulation comes into effect across the EU on July 26, 2018. For institutions currently using AMA models or whose application to do so is pending, the Delegated Regulation will apply from July 26, 2019 and certain provisions related to correlation will not apply until July 26, 2020.

    View the Commission Delegated Regulation (EU) 2018/959.

    Return to main website.