Operational risk capital

A calculation of economic capital for operational risk was made in 2010 using the basic and standard methods, with data as of December 31, 2010. The AMA calculation of economic capital is now being updated with data as of June 2010, so the latest information currently available for this calculation is from June 2009. BBVA uses the OpVision calculation engine to calculate the capital. Its technical development was carried out by Risklab, Indra and BBVA. The methodology used is called the Loss Distribution Approach (LDA). It is the most robust allowed by Basel from the statistical point of view.

The capital estimates made in Spain and Mexico use three information sources: the Group’s internal database (SIRO), external data from ORX and simulated events (also called scenarios). The economic capital results, according to the different methodologies used, are as follows:

Operational risk capital

(Million euros)


  Basic method Standard method (1) AMA method (2) AMA method (3)
Spain 1 282 1 205 1 753 829
Mexico 772 673 617 311
Other 941 802 n.a. n.a.
(1) BBVA currently uses the capital calculated by the standard model as regulatory capital. (2) This AMA method does not include the effect of diversification. (3) This AMA method includes the effect of diversification.