BBVA in 2012

Operational risk capital

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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 the domestic and international financial sector (external databases), 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 country environment and by internal control factors that depend on the level of mitigation of the weaknesses identified by the controls.

Economic operational risk capital

(Million euros)

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Risk class Capital Method
Spain 701 AMA
Mexico 441 AMA
Others 867 Standard
Others 205 Basic
Total 2,214