ICAAP Submission

ICAAP: Stress Test: Liquidity Risk

2 mins read We cover some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.

ICAAP: Stress Test: Market Risk

2 mins read We will cover some of the ways in which market risk can be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying interest rate and equity shocks, as well as Worst-Case MTM Stress Tests.

ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test

3 mins read In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.

ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates

< 1 min read In this post we will consider how to derive expected classification rates for “current” customers of a loan portfolio. This is used to calculate the expected “current” customers who will be classified within the next period, which will in turn be used in the quantification process of credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP).