Case of NBR

IV. ICAAP – NBR approach (6)
‣ NBR formalized a procedure concerning the methodology for determining additional
own funds requirement Pillar II and the method of determining and expressing it in the
capital evaluation process SREP
‣ NBR has implemented a monitoring system based on quantitative risk indicators (Key
risk indicators) which allows the identification of deterioration of the risk profile of each
entity, the results of the monitoring system being used both for on-site and off-site supervisory
activities.
‣ 26 KRIs are used for scoring with thresholds for each rating (1- 4) from the total of 34
KRIs. These scores are a starting point for the SREP scores and are automatically updated
based on the availability of new reported data.
‣ KRI thresholds may also trigger an update of SREP elements outside the annual cycle.
‣ All indicators are split into groups (risk categories) which also allows to assign automated
scores for SREP elements and risk categories (e.g. credit risk score), which serves a starting
point for further analysis
‣ For every bank there is a quarterly risk dashboard, providing bank-specific data, and sector
and peer group details
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