Month: January 2011

Bank ALM - Business Model

ICAAP Models, ALM, Interest Rate Simulations for ICAAP, Langkawi

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4 mins read

This advanced ICAAP modules workshop focuses on issues related to modelling using Interest Rate simulations, Interest Rate Mismatch and Liquidity Risk for Internal Capital Adequacy Assessment.

Starting with a balance sheet model, we quickly introduce tools and traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations, followed by structured analysis required for ICAAP submissions, reporting and recommendations.


ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk

4 mins read

Why is modeling strategic risk for ICAAP so difficult? Perhaps one reason is that unlike Value at Risk (VaR) or Credit Risk, there is no agreed upon, accepted, unified framework or tool to measure, report or track the capital required to recover from a strategic misstep. What further complicates the capital estimation exercise is the fact that strategic initiatives and resulting challenges at each bank are different

Book review: The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin and Reward

3 mins read

This book falls into the category of MUST READ especially for financial market participants, risk managers and those responsible for risk assessment. A page turner no doubt for its clear and non-mathematical narrative, but a thought provoking book too whose objective appears to be the fostering of a healthy debate on the relevance of existing market behavior models. It advocates deeper thought about their use rather than the blind faith currently accorded to them.