4.47b咋出来的？

问题如下：

An operational risk manager is asked to report a bank’s operational risk capital under the Standardized Measurement Approach (SMA) proposed by the Basel Committee in March 2016. The treasury department produces the following data for the bank, calculated according to the SMA guidelines:

• Business Indicator (BI): EUR 1,200 million
• Internal Loss Multiplier: 1

In addition, the manager uses the Business Indicator buckets in the Business Component presented in the table below:

What is the correct operational risk capital that the bank should report under the SMA? (2019 practice exam)

选项：

A.

EUR 120 million

B.

EUR 150 million

C.

EUR 158 million

D.

EUR 180million

解释：

Under the revised Standardized Measurement Approach, operational risk capital is equal to the Business Indicator Component multiplied by the Internal Loss Multiplier.

The Business Indicator Component is determined by the Business Indicator (BI), which is made up of almost the same P&L items that are found in the composition of Gross Income (GI). The main difference relates to how the items are combined. The BI uses positive values of its components, thereby avoiding counterintuitive negative contributions from some of the bank’s businesses to the capital charge (e.g. negative P&L on the trading book), which is possible under the GI. In addition, the BI includes income statement items related to activities that produce operational risk that are omitted (e.g. P&L on the banking book) or netted (e.g. fee expenses, other operating expenses) in the GI.

In this case, the BI is already given as EUR 1,200 million.

Therefore, with a BI of EUR 1,200 million falling into the BI range of Bucket 2, and given that the Internal Loss Multiplier is equal to 1, the calculation of the operational risk capital for the bank in Bucket 2 is calculated as follows:

SMA operational risk capital (Bucket 2) = BIC*1 = EUR 120 million + 0.15(BI – EUR 1 billion) = EUR 120 million + 0.15(EUR 1,200 million – EUR 1,000 million) = EUR 150 million.