Term
Definition
Letter: A
ABCP internal assessment approach
the method for calculating the risk weighted exposure amount for a securitisation position in relation to an asset backed commercial paper programme as set out in BIPRU 9.12.20 R.
- 01/01/2007
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.
- 01/01/2007
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.
- 01/01/2007
advanced prudential calculation approach
one of the following:
(a) the IRB approach; or
(b) the advanced measurement approach; or
(c) the VaR model approach; or
(d) the CAD 1 model approach; or
(f) the CCR internal model method;
including, in each case, whatever corresponds to that approach under the rules of or administered by a regulatory body other than the
FSA
.- 01/01/2007
advanced prudential calculation approach permission
one of the following:
(a) an IRB permission; or
(b) an AMA permission; or
(c) a VaR model permission; or
(d) a CAD 1 model waiver; or
- 01/01/2007
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.
- 01/01/2007
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.
- 01/01/2007
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.
- 01/01/2007