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
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:
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
Of the courses mentioned above, on-line video ICAAP related courses (view only and downloadable versions) on the following subjects are available for sale at our Finance Course Store:
- 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
The following ICAAP and related courses are also available for sale in pdf (non-print and print versions) formats at our Finance Course Store:
- ICAAP: Overview and Core Concepts
- Calculating Value at Risk- includes case study
- Collateral Valuation in Credit Risk Management
- Asset Liability Management
- Setting Counterparty Limits
Excel examples of certain ICAAP concepts are also available for sale at our Finance Course Store:
- ALM – Crash Course – Examples include Cost of Close Liquidity Gaps, Cost of Close – Interest Rate Risk, Earnings at Risk, Market Value of Equity
- Setting Limits
- ICAAP – Credit EXCEL Example
- Calculating VaR
- Duration Convexity Example
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