Calculation of RWA for Operational Risk

Policies relating to the calculation of risk-weighted assets for operational risk for banks, building societies and investment firms.

PRA Rules 

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

UK legislation 

  • Own Funds requirements for Operational Risk – Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title III)
 

UK technical standards

  • Specification of the assessment methodology under which competent authorities permit institutions to use Advanced Measurement Approaches for operational risk - Commission Delegated Regulation (EU) 2018/959, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex T
  • Assessing the materiality of extensions and changes of the Internal Ratings Based Approach and the Advanced Measurement Approach - Commission Delegated Regulation 529/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex I

Supervisory Statements 

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This page was last updated 31 January 2023