Market Risk 10-day 99%

VaR

Standardized Approach
equity risk

Credit Risk one-year

99,9% VaR

Operational Risk

Solvency II

Standardized Approach

Basic Indicator Approach Standardized Approach

Foundation Internal

Standardized Approach

(Modified Version)

interest rate risk

foreign exchange risk

commodity risk
option risk

No correlation
Internal Models
Approach

Rating Based Approach

banks estimate the

Approach

one-year 99,5% VaR

probability of default
(PD) and supervisors
supply

other inputs
Advanced Internal

Internal Models

Advanced Measurement

Rating Based Approach

banks can supply other
inputs as well. These
include loss given

default (LGD) and

exposure at default
(EAD)

Approach

one-year 99,9% VaR