In our previous post on the reforms being brought to the liquidity framework by Basel III we had discussed on a broad level the new minimum funding liquidity standards that would be applicable for the banking sector. In this post and the one to follow we discuss in more detail the first standard, i.e. the [...]
Tag Archives: Internal Capital Adequacy Assessment Process
According to the reforms to the capital and liquidity framework, Basel III would require the banking sector to maintain and monitor two key minimum funding liquidity standards as part of the supervisory/ regulatory approach to managing liquidity risk. This would be in addition to the supervisory assessments that regulators would be required to undertake to [...]
I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold for a treasury and investment management function, linking Stop Loss, Value at Risk and Management Action Triggers. The question a very astute board member asked me was a simple one:
How likely is this worst case [...]
Ever since we started preparing ICAAP (Internal Capital Adequacy Assessment Process) submission reports the two areas where clients had the most questions dealt with estimation of internal capital for strategic and liquidity risk. One client went as far as saying that I don’t want to discuss Pillar I at all. I understand Pillar I. It [...]
This advanced level workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis andearnings at risk, stress testing, scenario planning, policy making and simulations.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
Measure liquidity and quantify the effectiveness of traditional measurement tools.
Use scenario based [...]
Serves as a guide to Internal Capital Adequacy Assessment framework implementation with a focus on the calculations required behind thereporting format.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
What is really required in implementing the ICAAP framework at your bank?
How do we extend stress testing to capital adequacy, economic capital [...]
Basel III seeks to enhance the Basel II framework by addressing both firm-specific risk as well as system-specific systemic risk factors. Here, we will discuss some of major improvements being made to the Basel II framework on a macro-prudential system-wide basis as well as the greater role that stress testing will play in the process.
Basel II framework and global banking regulations weaknesses and loopholes were exposed in the recent financial crisis. The ineffectiveness of the existing system in preventing bank failures that resulted in subsequent huge taxpayer bailouts has led the Basel Committee to propose significant reforms to Basel II in what is now known as Basel III. These [...]
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.
A look at how stress test shocks are applied to various elements of the profitability analysis to determine their impacts on the profitability of the bank’s loan portfolio.
