European Commission and Directorate-General for Financial Stability, Financial Services and Capital Markets Union 14 March 2018, 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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European Union · · · Cited by 19 · 14-03-2018

CHAPTER 1. GENERAL PROVISIONS
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
SECTION 1. Governance
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. 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. Audit and internal validation functioning
Article 17. Audit and internal validation governance
SECTION 4. Data quality and IT infrastructure
Article 18. Data quality
Article 19. Supervisory assessment of IT infrastructure
CHAPTER 3. QUANTITATIVE STANDARDS
SECTION 1. Use of internal data, external data, scenario analysis and BEICF (‘the four elements’)
Article 20. General principles
SUB-SECTION 1. Internal data
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. 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. Expected losses
Article 34. Correlation
SECTION 4. Capital allocation mechanism
Article 35. Consistency of the operational risk measurement system
CHAPTER 4. INSURANCE AND OTHER RISK TRANSFER MECHANISMS
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. Transitional provision
Article 46. Entry into force

6.7.2018

Official Journal of the European Union

L 169/1

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

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