basel ii cheatsheet

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: