Case of NBR

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VI. ICAAP disclosure (1)• The ICAAP and Risk Bearing Capacity Calculation (RCC) forma part of the Pillar II requirements, according to Basel Accord• The risk side of the calculation serves to determine theeconomic capital requirement for unexpected losses inrespect of credit, market and operational risk. Besides credit,market and operational risk, the economic capital requirement for31 December 2018 includes also FX induced credit risk andbusiness/strategic risk.36
VI. ICAAP disclosure (2)• The economic capital requirement is compared to the capital held ascoverage (broken down into equity, subordinated capital, reserves andretained earnings), thus determining the Group’s ability to absorb thesepotential unexpected losses.• The risk is calculated at a confidence level of 99.9%. The calculation ofRCC is designed in accordance with the business strategy and risk profile ofBank Group and is accounted for in its risk appetite.• The Management Body is informed on a quarterly basis on the basis ofthe results of the determined risk bearing capacity of the bank, the degreeof utilization of the risk limits, about the level of risks and the capital/coveragepotential going forward.• The calculation of the risk-bearing capacity is a vital part of the managementof risk and capital at the level of Bank Group.37
Page 1 and 2: ICAAP and ILAAPNBR approachLucretia
Page 3 and 4: I. General considerations (1)• Th
Page 5 and 6: I. General considerations (3)• Pi
Page 7 and 8: II. ICAAP and ILAAP under SREP (2)7
Page 15 and 16: II. ICAAP and ILAAP under SREP (10)
Page 17 and 18: III. Legal basis for ICAAP, ILAAP a
Page 25 and 26: IV. ICAAP- NBR approach (1)‣ ICAA
Page 27 and 28: IV. ICAAP- NBR approach (3)‣ NBR
Page 29 and 30: IV. ICAAP- NBR approach (5)Risk typ
Page 31 and 32: IV. ICAAP - NBR approach (7)Memoran
Page 33 and 34: V. ICAAP- questionnaire (2)Informat
Page 35: V. ICAAP - questionnaire (4)Informa
Page 39 and 40: VI. ICAAP disclosure (4)• Economi
Page 41 and 42: VII. ILAAP - NBR approach (2)• Du
Page 43 and 44: VII. ILAAP - NBR approach (4)ILAAP
Page 45 and 46: VIII. ILAAP disclosure (2)Bank has
Page 47: VIII. ILAAP disclosure (4)• The c

Case of NBR

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