Financial Risk Manager Part 2
Get started today
Ultimate access to all questions.
Ultimate access to all questions.
An operational risk manager is required to provide a report on the bank's operational risk capital as per the Standardized Measurement Approach (SMA) outlined by the Basel Committee in March 2016. The treasury department has furnished the following data for the bank, computed in line with the SMA guidelines: - Business Indicator (BI): EUR 1,200 million - Internal Loss Multiplier: 1
Additionally, the manager utilizes the Business Indicator categories within the Business Component, as detailed in the table below:
| Bucket | BI Range | BI Component |
|---|---|---|
| 1 | EUR 0 to EUR 1 billion | 0.12 * BI |
| 2 | EUR 1 billion to EUR 30 billion | EUR 120 million + 0.15(BI - EUR 1 billion) |
| 3 | Higher than EUR 30 billion | EUR 4,070 million + 0.18(BI - EUR 30 billion) |
What is the accurate operational risk capital amount that the bank must report under the SMA?