# 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**

- ICAAP – Overview & Core Concepts
- Calculating VaR – includes case study
- Collateral Valuation in Credit Risk Management
- ALM – Crash Course
- Setting Counterparty Limits

**Related EXCEL Files**

- ALM Crash Course – EXCEL Example (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
- Setting Limits
- ICAAP – Credit EXCEL Example
- Calculating VaR – EXCEL Example
- Duration Convexity Example

## Search the site

## Pages

- Self Study
- Learning Roadmaps
- Asset Liability Management – Learning Roadmap
- Basel II & Basel III Frameworks – Learning Roadmap
- Commodities – Learning Roadmap
- Corporate Finance – Learning Roadmap
- Derivatives Pricing – Learning Roadmap
- ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk – Learning Roadmap
- Internal Capital Adequacy Assessment Process (ICAAP) – Learning Roadmap
- Monte Carlo Simulation – Learning Roadmap
- Setting Market Risk Limits – Learning Roadmap
- Treasury Products and Operations – Learning Roadmap
- VaR (Value at Risk) – Learning Roadmap

- Topic Guides
- Asset Liability Management (ALM) Crash Course – Topic Guide
- Basel & ICAAP – Topic Guide
- Black Derman Toy (BDT) Interest Rate Model – Topic Guide
- Calculating Value at Risk (VaR) – Topic Guide
- Credit Analysis & Credit Process – Topic Guide
- Derivative Pricing – Topic Guide
- Derivative Products – Topic Guide
- Forward Rates and Forward Prices – Topic Guide
- Heath Jarrow Merton (HJM) Interest Rate Model – Topic Guide
- Interest Rate Simulation Crash Course – Topic Guide
- Monte Carlo Simulation – Topic Guide
- Pricing Interest Rate Swaps & Interest Rate Options – Topic Guide
- Setting Counterparty Limits – Topic Guide
- Treasury Crash Course – Topic Guide

- Video Courses
- ALM and Capital Adequacy – Course Outline
- Calculating VaR ( Value at Risk) – Course Outline
- Cross Selling Treasury Products – Course Outline
- Option Pricing using Binomial Trees – Course Outline
- Option Pricing using Monte Carlo Simulation – Course Outline
- Quant Crash Course – Course Outline
- Selling Derivatives Products – Course Outline
- Setting Value at Risk, Stop Loss, Pre Settlement and Counterparty Limits – Course Outline
- Stress Testing – Course Outline
- Understanding N(d1) and N(d2) – Course Outline
- Pitching for Startups – Course Outline

- Learning Roadmaps

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