ICAAP, Stress Testing & Economic Capital Masterclass

In today's challenging financial environment, it has become critical for financial risk professionals to stay on top of new developments and best practices in risk management. Never has the role of the risk manager been as important as it is today.

Economic Capital provides an examination of the latest tools, techniques and best practices surrounding economic capital allocation within a financial institution. Led by senior practitioners and industry experts from around the globe, the course explores wide-ranging, up-to-the-minute issues in a comprehensive and frank manner. 

This workshop will demonstrate how best to execute the ICAAP and what outcomes the regulator is looking for (i.e. demonstrating integration with governance, decision making process, stress testing, risk management as well as preparation and retention of documentation).

Module 1 ICAAP and Evolving Banking Regulation's explores the key components of ICAAP and its implementation, namely Risk Governance, including Risk Appetite, Capital Adequacy, Enterprise Stress Testing, Capital Allocation and Planning, Use Test and the Reporting Process.

Module 2 Stress Testing in the New Regulatory Landscape explores the key components of Stress Testing and its implementation, namely Pillars 2 and 3 Requirements of the Basel Accord, Best Practices in Stress Testing, Liquidity Stress Test, Business Sustainability and alignment with Basel III.

Outline:

Gain a practical understanding of the ICAAP.
Understand how the ICAAP fits in with wider risk and capital management.
Learn about techniques of stress testing.
Learn to structure key documentation to meet internal and regulator requirements.
Gain insights into the benefits of producing an ICAAP, beyond regulatory compliance.
Strategic use of economical capital.
Understand Basel III guidelines in relation to capital allocation.
Understand Both high-level and operational issues regarding the step-by-step procedures involved in conducting stress testing.
Understand Both the quantitative and qualitative elements that are essential in performing a stress test and allocating capital.
Calculating economic capital for credit.
Market and operational risks.
Integrating stress-testing into the capital management processes.
The role of regulatory capital and relationship with Basel II capital requirements.