capital adequacy and basel reform
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Capital Adequacy and Basel Reform. Felicity Ann Youl Regional Head Compliance & Control BNP Paribas, Asia Pacific 30 November 2010. Some Quick facts about BNP Paribas. 201,000 employees across 84 countries - PowerPoint PPT PresentationTRANSCRIPT
Capital Adequacy and Basel Reform
Felicity Ann YoulRegional Head
Compliance & ControlBNP Paribas, Asia Pacific
30 November 2010
Some Quick facts about BNP Paribas
201,000 employees across 84 countries Diversified business model across Retail, Corporate & Investment Banking and
Investment Solutions After CEBS stress test, buffer of over €20 Billion Gross Revenues €33.56 Billion/Net Income €6.293 Billion (for 9 months to 9/2010)
In the top 15 banks by market capitalisation (€80 Billion)
Common equity tier 1 ratio 9% / tier 1 ratio 11.2% (at 30/9/10)
ROE 13.2% for 9M 2010 (at 30/9/2010)
AUM of €887 Billion (at 30/9/2010)
RWA €608 billion (at 30/9/2010)
One of only 6 banks in the world rated AA or above 6th most important global banking brand
(English Brand Finance Magazine)
-20
84 -40
12
2724
€bn 21
30.06.10 Basel 2.5 Basel 3 Total
Counterparty Operational
Credit Market / FX / Equity
* Estimates based on 30/6/10 balance sheet & current information concerning planned Basel 2.5 & 3 regulations
144
RWA - Capital MarketsEstimated* Basel 2.5 & 3 impact
BNP Paribas’ Operational Risk Approach
• The cornerstone of the BNPP model is the potential incidents • Selection of scope:
– Key business processes analysis,– Identification of the potential incidents, – Selection of the most important in terms of financial impact.
• Detailed analysis of those potential incidents:– Qualitative: Analysis of the causes, controls, effects and quantification factors,– Quantitative: Frequency and severity assessment of two cases (Likely and Worst).
• Historical internal and external incidents are used to back test our prospective analysis and ensure its completeness and accuracy.
• The incidents output data (frequency, severity) are modeled by distribution laws.• Capital is derived from simulation of annual aggregated losses resulting from modeled incidents.
3
The Group Capital Calculation Model
Potential Incidents
Calculation engineDistributions
Simulations
Annual aggregated
losses
Capital
External data
Historical incidents
Analysis•Risk Assessments
•30 majors Scenarios
Direct useDirect use
CompletionCompletion
Indirect UseIndirect Use
Indirect UseIndirect Use
CompletionCompletion
Common risks
Extreme risk
Potential Incidents
Calculation engineDistributions
Simulations
Calculation engineDistributions
Simulations
Annual aggregated
losses
Capital
Annual aggregated
losses
Annual aggregated
losses
Annual aggregated
losses
CapitalCapitalCapital
External dataExternal data
Historical incidentsHistorical incidents
Analysis•Risk Assessments
•30 majors Scenarios
Direct useDirect use
CompletionCompletion
Indirect UseIndirect Use
Indirect UseIndirect Use
CompletionCompletion
Common risks
Extreme risk Quantitative analysisQualitative analysis
Causes Controls LIKELY CASE
WORST CASE
Description FrequencyEffects
Potential IncidentPotential Incident
Severity
Description Frequency SeverityEvent
Process
Quantitative analysisQualitative analysisCauses Controls LIKELY CASE
WORST CASEWORST CASE
Description FrequencyEffects
Potential IncidentPotential Incident
Severity
Description Frequency SeverityEvent
Process