ICAAP: The Capital Adequacy Assessment Process as a Key Component of the Supervisory Review and Evaluation Process (SREP)

The main objective of this course is to provide participants with a good understanding of the Internal Capital Adequacy Process (ICAAP) as a key component of the Supervisory Review and Evaluation Process (SREP) in banking. Specifically, the course helps participants to understand:

• Risk management

• Basel framework based on 3 pillars

• SRP / Pillar 2 Principles

• Pillar 2 and non-covered risks

• ICAAP principles (Basel / ECB) & Pillar II buffers

• ECB and Pillar 2 - SREP

• Specific aspects e.g. model validation, economic capital

• risk appetite framework, stress testing, recovery & resolution

• Discussion of practices, approaches & challenges

• Future trends in risk ICAAP: e.g. Climate risk
  

Basel Framework – 3 pillars with focus on the second pillar

• Risk management: risk taxonomy, dimensions, risk map, cycle, risk appetite, capital regulation, economic and regulatory capital

• Basel Committee on Banking Supervision:

  • History, development, overview of the 3 Pillars, evolutions

  • Definition of capital and buffers

  • International Regulatory Environment: EU / US

  • Pillar 2 versus Pillar 3 as complement of Pillar 1

Focus on Pillar 2

• Importance of Pillar 2

• Pillar 2 based on 4 Key Principles

• Pillar 2 and Risk Management:

  • firm wide risk oversight – risk governance, concentrations, reputational risk,

  • valuation practices, stress testing, liquidity risk

• Pillar 2 and risks not captured under Pillar 1:

  • IRRBB, Credit, Market, Operational,

  • Remuneration, Data aggregation and risk reporting    

ICAAP – zoom on specific aspects

• Pillar 2 and SREP

  • BMA, Governance, ICAAP, ILAAP

  • buffers: pillar II Requirements / Pillar II Guidance

• Economic capital and ICAAP

• Risk Appetite Framework & capital budgeting

• Zoom on credit risk stress testing

• Validation of models

• Discussion of an example

Future Trends in Risk Management

• Discussion of practices, approaches & challenges

• Latest regulatory developments in ICAAP: e.g. Climate risk

• Conclusions and wrap-up

Risk and Finance Professionals from banks or supervisory authorities with at least 3 years of experience working in risk management. The course will be of particularly interest to risk managers, finance managers, internal auditors and senior managers from different banking areas

Please note that as a stand-alone course, the ICAAP training course can only be delivered online (distance learning). Coupled with the course Risk Management: Regulation for Banks - Basel it can however be organised as a face-to-face training in partner countries.

No exam is available for this course.