| (iii) | Quantitative standards |
As a minimum, a bank that wishes to adopt the advanced measurement approach for the calculation of the bank's capital requirement relating to operational risk—
| (A) | shall have in place a duly documented and robust approach for the measurement of the bank's exposure to operational risk, which approach, amongst other things, shall ensure that the bank has in place rigorous procedures for the development of a robust operational risk model; |
| (B) | shall have in place a robust operational risk measurement system, which operational risk measurement system— |
| (i) | shall be consistent with the scope of operational risk, as defined in regulation 67; |
| (ii) | shall be consistent with the loss event types specified in subparagraph (iv) below; |
| (iii) | shall duly capture potentially severe 'tail' loss events; |
| (iv) | shall be subject to independent validation; |
| (v) | shall be sufficiently granular to capture the major drivers of operational risk, which drivers may affect the shape of the tail of the bank's estimates of loss; |
| (vi) | shall not double count the effects of correlation or risk mitigation; |
| (vii) | shall comply with the minimum requirements relating to— |
| (aa) | internal data specified in subparagraph (v) below; |
| (bb) | relevant external data specified in subparagraph (vi) below; |
| (cc) | scenario analysis specified in subparagraph (vii) below; |
| (dd) | internal control systems and the factors reflecting the business environment in which the bank conducts business, specified in subparagraph (viii) below; |
