Two operational risk economic capital estimates were made in 2009. One used data from the end of 2008 and the other from June 30, 2009. There is little significant difference between the two, and they reveal that the capital figures have stabilized. This is to be expected, as the databases used are increasingly complete, so that the figures for last year have a relatively lower weight.
To make its capital estimates, BBVA uses the OpVision calculation engine, which was developed jointly by Risklab, Indra and BBVA. The methodology used is called 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
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