Term

Definition

Letter: A

ABCP internal assessment approach

advanced IRB approach

one of the following:
(a) (in relation to the sovereign, institutional and corporate IRB exposure class) the approach under the IRB approach under which a firm supplies its own estimates of LGD and conversion factors;
(b) (where the approach in (a) is being applied on a consolidated basis) the method in (a) as applied on a consolidated basis in accordance with BIPRU 8 (Group risk - consolidation); or
(c) when the reference is to the rules of or administered by a regulatory body other than the FSA, whatever corresponds to the approach in (a) or (b), as the case may be, under those rules.

advanced measurement approach

one of the following:
(a) the adjusted method of calculating theoperational risk capital requirement set out in BIPRU 6.5 (Operational risk: advanced measurement approaches);
(b) (where the approach in (a) is being applied on a consolidated basis) the method in (a) as applied on a consolidated basis in accordance with BIPRU 8 (Group risk - consolidation); or
(c) when the reference is to the rules of or administered by a regulatory body other than the FSA, whatever corresponds to the approach in (a) or (b), as the case may be, under those rules.

advanced prudential calculation approach

one of the following:
(a) the IRB approach; or
(c) the VaR model approach; or
including, in each case, whatever corresponds to that approach under the rules of or administered by a regulatory body other than the FSA .

advanced prudential calculation approach permission

alternative standardised approach

one of the following:
(a) a version of the standardised approach to operational risk under which a firm uses different indicators for certain business lines as referred to in BIPRU 6.4.19 R (The alternative standardised approach);
(b) (where the approach in (a) is being applied on a consolidated basis) the method in (a) as applied on a consolidated basis in accordance with BIPRU 8 (Group risk - consolidation); or
(c) when the reference is to the rules of or administered by a regulatory body other than the FSA, whatever corresponds to the approach in (a) or (b), as the case may be, under those rules.

AMA permission

an Article 129 implementing measure, a requirement or a waiver that requires a BIPRU firm oran institution to use theadvanced measurement approach to operational risk on a solo basis or, if the context requires, a consolidated basis.

Article 129 permission

a permission of the type referred to in Article 129(2) of the Banking Consolidation Directive (permission to apply the IRB approach, the AMA approach or the CCR internal model method on a consolidated basis) or Article 37(2) of the Capital Adequacy Directive (permission to apply the VaR model approach on a consolidated basis) excluding an Article 129 implementing measure.