ABN Amro ditches op risk modelling

Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025

ABN Amro dropped internal modelling of operational risk in the third quarter, in anticipation of the final Basel III framework that will replace the current methods for calculating capital requirements with the revised standardised measurement approach (SMA).

The bank reported €15.5 billion ($16.8 billion) in op risk risk-weighted assets (RWAs) at the end of September, all of which was determined using the standardised approach. Three months earlier, 97% of its operational risk was calculated

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