Explanation:
The operational risk capital requirement can be summarized as follows:
Operational risk capital = BIC × ILM
where:
Business Indicator Component (BIC) = ∑(αᵢ × BIᵢ)
αᵢ is the BI coefficient for business line i, and BIᵢ is the business line indicator
ILM = internal loss multiplier = 1
Thus, value of the capital requirement = (100 × 0.12) + (200 × 0.15) + (50 × 0.18) = 51
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Q.3104 A French bank has the following exposure:
| Business line | BI coefficient | Business line relevant indicator |
|---|---|---|
| Consumer banking | 12% | 100 |
| Global banking | 15% | 200 |
| Wealth management | 18% | 50 |
The bank’s supervisor has set an internal loss multiplier of 1. The capital requirement for operational risk for the bank, using the standardized approach, is equal to:
A
67
B
80
C
51
D
45
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