A licensed central counterparty that wishes to adopt the Advanced Measurement Approach for the calculation of the central counterparty’s capital requirement relating to operational risk must have in place—
| (a) |
a duly documented and robust approach for the measurement of the central counterparty’s exposure to operational risk, which approach, among others, must ensure that the central counterparty has in place rigorous procedures for the development of a robust operational risk model; |
| (b) |
a robust operational risk measurement system, which— |
| (i) |
must be consistent with the scope of operational risk, as defined in regulation 1; |
| (ii) |
must be consistent with the loss event types specified in Table 25(B); |
| (iii) |
must duly capture potentially severe 'tail' loss events; |
| (iv) |
must be subject to independent validation; |
| (v) |
must be sufficiently granular to capture the major drivers of operational risk, which drivers may affect the shape of the tail of the central counterparty’s estimates of loss; |
| (vi) |
may not double count the effects of correlation or risk mitigation; |
| (vii) |
must comply with the minimum requirements relating to— |
| (aa) |
internal data specified in Regulation 25.2.4; |
| (bb) |
relevant external data specified in Regulation 25.2.5; |
| (cc) |
scenario analysis specified in Regulation 25.2.6; |
| (dd) |
internal control systems and the factors reflecting the business environment in which the central counterparty conducts business, specified in Regulation 25.2.7; |
National Environmental Management Act, 1998 (107 of 1998)
