Description
Introduction
“The aim of the ICAAP and ILAAP is to encourage banks to reflect on their capital and liquidity risks in a structured way, using bank-specific approaches to measure and manage these risks. Both processes should ensure that banks identify, effectively manage and cover their capital and liquidity risks at all times. Implementing the ICAAP and ILAAP proportionately is the responsibility of the banks themselves. In other words, each bank must ensure that its ICAAP and ILAAP are commensurate with its business model, size, complexity, riskiness and market expectations”.*
*ECB – Banking Supervision – ECB Guides to ICAAP & ILAAP
Objectives
The aim of this workshop is to provide the participants with a complete coverage of how to implement an ILAAP process, also in the context of the Supervisory Review and Evaluation Process (SREP) interactions with the banking supervisor. The workshop will go beyond the mere illustration of the requested content of a standard ILAAP report, by providing concrete examples of the ILAAP implementation approach, including aspects related to governance, approval process, internal audit, validation and consolidated group coverage.
Programme
The regulatory context relevant to ILAAP
Pillar 1: regulatory liquidity ratios and reporting
Pillar 2: the Supervisory Review and Evaluation Process (SREP)
Pillar 3: public disclosures
The content and structure of the ILAAP report
Executive summary and Liquidity Adequacy Statement (LAS)
The ILAAP “chapters”
The “reader’s manual”
The central role of stress testing
- Vulnerability assessment (a.k.a. risk identification)
- Materiality assessment
- Scenario analysis
The ILAAP process in action
How to organize an ILAAP exercise
- Actors involved and governance (Risk management, ALCO, BoD, etc.)
- The timeline
- Resources needed
The ILAAP in the context of the “Three Lines of Defense” model
- The role of Internal Audit
- The role of Model Validation
What you’ll not find in books: a honest testimonial from an “ILAAP veteran”
Lessons learned from four real ILAAP exercises (plus one ongoing)
An overview of what’s great and not so great…
Target Audience
Banking professionals from banks (commercial and central), financial institutions or supervision authorities, who already have familiarity with risk management fundamentals and who wish to acquire a practical understanding of ILAAP.
Remark
Please note that this course can only be delivered online (distance learning). In order to be organized in a partner country (face-to-face training), it shall be coupled with the course “Risk Management: Liquidity Risk for Banks"
Modalities
Course Material
Please note that for environmental reasons no paper version of the training material will be provided for your training. The course material can be downloaded free of charge via your portal before the start of the course (download the Client Portal User’s Guide here ). You will be able to view it on the screen of your mobile device or print it if necessary. If your registration has been made by a training manager of your company please contact him/her so that he/she can give you access to it or send it to you.
Exam
No exam is available for this course.
Contact
For further questions please contact our partner in your country