GS » Topics » Risk-Weighted Assets for Operational Risk

These excerpts taken from the GS 10-K filed Jan 27, 2009.
Risk-Weighted Assets for Operational Risk
RWAs for operational risk are calculated using a risk-based methodology consistent with the qualitative and quantitative criteria for the Advanced Measurement Approach (AMA), as defined in Basel II. The methodology incorporates internal loss events, relevant external loss events, results of scenario analyses and management’s assessment of our business environment and internal controls. We estimate capital requirements for both expected and unexpected losses, seeking to capture the major drivers of operational risk over a one-year time horizon, at a 99.9% confidence level. Operational risk capital is allocated among our businesses and is regularly reported to senior management and key risk and oversight committees.
Risk-Weighted
Assets for Operational Risk






RWAs for operational risk are calculated using a
risk-based
methodology consistent with the qualitative and quantitative
criteria for the Advanced Measurement Approach (AMA), as defined
in Basel II. The methodology incorporates internal loss events,
relevant external loss events, results of scenario analyses and
management’s assessment of our business environment and
internal controls. We estimate capital requirements for both
expected and unexpected losses, seeking to capture the major
drivers of operational risk over a
one-year
time horizon, at a 99.9% confidence level. Operational risk
capital is allocated among our businesses and is regularly
reported to senior management and key risk and oversight
committees.






This excerpt taken from the GS 10-Q filed Oct 8, 2008.
Risk-Weighted Assets for Operational Risk
RWAs for operational risk were calculated using a risk-based methodology consistent with the qualitative and quantitative criteria for the Advanced Measurement Approach (AMA), as defined in Basel II. The methodology incorporated internal loss events, relevant external loss events, results of scenario analyses and management’s assessment of our business environment and internal controls. We estimated capital requirements for both expected and unexpected losses, seeking to capture the major drivers of operational risk over a one-year time horizon, at a 99.9% confidence level. Operational risk capital is allocated among our businesses and is regularly reported to senior management and key risk and oversight committees. Given that the quantification of operational risk is still in the early stages of development, the SEC required Goldman Sachs to apply a floor to the capital requirements for operational risk; the level of the floor was slightly higher than the calculation based on the AMA methodology as of August 2008.


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This excerpt taken from the GS 10-Q filed Jul 7, 2008.
Risk-Weighted Assets for Operational Risk
RWAs for operational risk are calculated using a risk-based methodology consistent with the qualitative and quantitative criteria for the Advanced Measurement Approach (AMA), as defined in Basel II. The methodology incorporates internal loss events, relevant external loss events, results of scenario analyses and management’s assessment of our business environment and internal controls. We estimate capital requirements for both expected and unexpected losses, seeking to capture the major drivers of operational risk over a one-year time horizon, at a 99.9% confidence level. Operational risk capital is allocated among our businesses and is regularly reported to senior management and key risk and oversight committees. Given that the quantification of operational risk is still in the early stages of development, the SEC currently requires Goldman Sachs to apply a floor to the capital requirements for operational risk; the level of the floor is slightly higher than the calculation based on the AMA methodology as of May 2008.


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