Operational risk capital

The methodology used by BBVA to calculate capital using advanced internal models (AMA) is the so-called loss distribution approach (LDA), considered the most robust from a statistical point of view among those permitted by the Basel Committee. This methodology is fed by three data sources: the Group’s internal operational loss database (SIRO, the Integrated Operational Risk System); events occurring in banks outside the Group; and simulated events (also called scenarios). BBVA’s application of AMA models has been approved for Spain and Mexico.

The capital resulting from the application of the advanced models is adjusted by factors related to the environment of the activities and geographical areas in which the Group is present, and by internal control factors that depend on the level of mitigation of the weaknesses identified by the controls.

Operational risk capital

(Million euros)

Risk class Capital Method
Spain 683 AMA
Mexico 412 AMA
Other 878 Standard
Other 145 Basic
Total 2,118