Regulatory Alerts2016-10-28
Added · Updated
Confidence Interval for Assessing Capital Adequacy in ICAAP
De Nederlandsche Bank (DNB) requires institutions to calculate capital adequacy under the Internal Capital Adequacy Assessment Process (ICAAP) using a 99.9% confidence interval over a one-year horizon. This standard aligns with Pillar 1 credit risk requirements under Article 153 of the Capital Requirements Regulation. Institutions using a lower confidence interval risk having their results recalibrated by DNB to the 99.9% standard during the Supervisory Review and Evaluation Process.
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