Internal Capital Adequacy Assessment Process (ICAAP) – Learning Roadmap

Under Basel II’s Pillar 2, a bank must have an Internal Capital Adequacy Assessment Process (ICAAP) in place. ICAAP consists of internal procedures and systems that ensure that the bank will possess adequate capital resources in the long term to cover all of its material risks. It involves the determination of economic capital as opposed to regulatory capital and is a process that is run in parallel to the regulatory capital requirement determination process. ICAAP should be an integral part of the bank’s processes and must be embedded within the organization and supported by Senior management and the Board of Directors (BOD).

 

What are the prerequisites?

The VaR measure is a very important tool for the ICAAP process. The following courses review its calculation methodology and use of the VaR measure:

  • Calculating Value at Risk
  • Value at Risk Case Study

 

What topics are covered?

We begin with an overview and discussion of the core concepts of ICAAP and the background behind Basel II. We also present some of the changes that Basel III has in store regarding Capital Adequacy requirements. These topics are considered in the following courses:

  • Internal Capital Adequacy Assessment Process (ICAAP) – Overview and Core concepts
  • ICAAP Sample Report Template
  • Basel III- Basel II framework revisions

 

What are the additional topics I can read up on?

Other topics that will be useful for assessing risk and capital requirements are:

  • Collateral Valuation in Credit Risk Management
  • Duration and Convexity Example
  • Asset Liability Management
  • Liquidity Risk Management Case Studies
  • Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits

 

Related Video Courses

  • Quant Crash Course
  • Calculating VaR (Value at Risk) using VCV and Historical Simulation
  • Setting Value at Risk (VaR), Stop Loss, Pre Settlement (PSR) and Counterparty Limits

 

Related PDF Files

 

Related EXCEL Files

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