Case of NBR

III. Legal basis for ICAAP, ILAAP and SREP (3)
Regulation no.5/2013
Credit institution shall identify and assess all material risks to which it is or
may be exposed:
‣ the risks for which, according to CRR, there are regulatory capital requirements, including
significant differences between the regulated risk treatment for the calculation of minimum
capital requirements and the treatment under the ICAAP or governance environment
‣ the risks for which the regulatory capital requirements are not fully covered:
(i) risks arising from the application of less sophisticated approaches;
(ii) the underestimation for the stressed loss given default;
(iii) the residual risk related to the credit risk mitigation techniques;
(iv) the securitisation risk;
(v) the risks which arise from the foreign-exchange lending activity of obligors exposed to
foreign-exchange risk;
‣ risks such as: interest rate risk from non-trading book activities, concentration risk, liquidity risk,
risk of excessive leverage, reputational risk and strategic risk.
‣ risks outside the credit institution, respectively risks related to the regulatory, economic or
governance environment
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