For the purpose of 2017 reporting, the Group calculated the credit risk capital requirement using Advanced Internal Ratings Based approach as well as the Standardised Approach. The Group received the approval from the Polish Financial Supervision Authority and De Nederlandsche Bank to apply AIRB approach for exposure classes: corporates and credit institutions for the Bank and ING Lease Sp. z o.o. For operational risk, the Group uses the Basic Indicator Approach. For market risk, the Group uses the Standardised Approach. The Group also sets the capital requirements for concentration risk, settlement and delivery risk and credit value adjustment risk (CVA). In all the cases, the requirements are set in compliance with the Capital Requirements Regulation.
The total capital requirement is dominated by the credit risk capital requirement. As at 2017 yearend, its share accounted for as much as 87%.
ING Bank Śląski S.A. Group capital requirement structure (%)
1Supplement to the overall level of capital requirements