A focus on ICAAP – Pillar II risks primarily ALM and Liquidity Risk Capital using Interest Rate Simulations. The two day main event is preceded by a single day foundation workshop on Internal Capital Adequacy with a focus on treasury, market and counterparty risk management.
This intermediate level workshop serves as a guide to Internal Capital Adequacy Assessment framework implementation with a special focus on treasury, market risk and counterparty limits.
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.
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
Asset Liability Management (ALM) includes effective liquidity management. One way of assessing a bank’s exposure to liquidity risk is to consider the gaps that exist between its assets and liabilities for pre-defined time buckets, and then calculate the cost that would be incurred to close
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.