Regulation 2018/959

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Delegated Regulation (EU) 2018/959

Commission Delegated Regulation (EU) 2018/959 of 14 March 2018 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards of the specification of the assessment methodology under which competent authorities permit institutions to use Advanced Measurement Approaches for operational risk (Text with EEA relevance.)

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In force since 26/07/2018

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Recitals

CHAPTER 1 - GENERAL PROVISIONS (Article 1-6)Article 1 - Assessment of Advanced Measurement Approaches Article 2 - Definitions Article 3 - Operational risk events related to legal risk Article 4 - Operational risk events related to model risk Article 5 - Operational risk events related to financial transactions including those related to market risk Article 6 - Quality and auditability of documentation

CHAPTER 2 - QUALITATIVE STANDARDS (Article 7-19)

SECTION 1 - Governance (Article 7-10)Article 7 - Operational risk management process Article 8 - Independent operational risk management function Article 9 - Senior management involvement Article 10 - Reporting

SECTION 2 - Use test (Article 11-15)Article 11 - Use of the AMA Article 12 - Continuous integration of the AMA Article 13 - AMA used to support the operational risk management of the institution Article 14 - AMA used to enhance the operational risk organization and control of the institution Article 15 - Comparison of the AMA with the less sophisticated approaches

SECTION 3 - Audit and internal validation (Article 16-17)Article 16 - Audit and internal validation functioning Article 17 - Audit and internal validation governance

SECTION 4 - Data quality and IT infrastructure (Article 18-19)Article 18 - Data quality Article 19 - Supervisory assessment of IT infrastructure

CHAPTER 3 - QUANTITATIVE STANDARDS (Article 20-35)

SECTION 1 - Use of internal data, external data, scenario analysis and BEICF ( (Article 20-27)Article 20 - General principles

SUB-SECTION 1 - Internal data (Article 21-27)Article 21 - Internal data features Article 22 - Scope of operational risk loss Article 23 - Recorded loss amount of the operational risk items Article 24 - Operational risk losses that are related to credit risk Article 25 - External data Article 26 - Scenario analysis Article 27 - Business Environment and Internal Control Factors

SECTION 2 - Core modelling assumptions of the operational risk measurement system (Article 28-32)Article 28 - General assessment Article 29 - Building the calculation data set Article 30 - Granularity Article 31 - Identification of the loss distributions Article 32 - Determination of aggregated loss distributions and risk measures

SECTION 3 - Expected loss and Correlation (Article 33-34)Article 33 - Expected losses Article 34 - Correlation

SECTION 4 - Capital allocation mechanism (Article 35)Article 35 - Consistency of the operational risk measurement system

CHAPTER 4 - INSURANCE AND OTHER RISK TRANSFER MECHANISMS (Article 36-44)Article 36 - General principles Article 37 - Authorisation equivalence of the insurance provider Article 38 - Provision of the insurance via a third party Article 39 - Multiple counting of risk mitigation techniques Article 40 - Insurance risk mapping process Article 41 - Use of a sophisticated risk mitigation calculation Article 42 - Alignment of the risk mitigation calculation with the operational risk profile Article 43 - Capture of all the relevant elements Article 44 - Other risk transfer mechanisms

CHAPTER 5 - FINAL PROVISION (Article 45-46)Article 45 - Transitional provision Article 46 - Entry into force

Delegated Regulation (EU) 2018/959

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