Case of NBR

V. ICAAP- questionnaire (2)
Information regarding the risk measurement as well as their
evaluation and aggregation
‣ Describe the quantification/measurement methods and models,
inclusively the values, hypothesis and parameters used (such as
confidence level, holding periods, etc.) for all categories and subcategories
of risks.
‣ Describe the main differences between the
quantification/measurement methods and models used for the
purpose of the ICAAP and those used for the calculation of the
minimum requirements of the own funds for the covered risks.
‣ Describe the methodology of aggregation of the internal capital
estimations for the covered entities and risks.
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