2018 Registration document and annual fi nancial report - BNP PARIBAS 277

5.1 Annual risk survey 280 Key fi gures 280 Top and emerging risks 283 Risk factors 287

5.2 Capital management and capital adequacy 296 Scope of application 296 Regulatory capital [Audited] 307 Capital requirement and risk-weighted assets 311 Capital adequacy and capital planning 315 Capital management 322

5.3 Risk management [Audited] 324 Governance 324 Risk management organisation 325 Risk culture 326 Risk Appetite 327 Stress testing 328

5.4 Credit risk 331 Exposure to credit risk [Audited] 331 Credit risk management policy [Audited] 333 Credit risk diversifi cation [Audited] 336 Risk-weighted assets 346 Credit risk: Internal Ratings Based Approach (IRBA) 347 Credit risk: standardised approach 360 Credit risk: equities under the simple weighting method 364 Exposure in default, provisions and cost of risk 365 Restructured loans [Audited] 370 Credit risk mitigation techniques 372

5.5 Securitisation in the banking book 374 Accounting methods [Audited] 374 Securitisation risk management [Audited] 375 BNP Paribas securitisation activity [Audited] 375 Securitised exposures 377 Securitisation positions 378 Risk-weighted assets 379

RISKS AND CAPITAL ADEQUACY PILLAR 35