Finance Training Course – Course Outline – ICAAP – Implementation and Challenges
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 and capital charge calculations?
- What are some of the possible options for evaluating strategic risk?
- How do you integrate reporting across market, credit, operational risk, liquidity, and credit concentration issues?
- Where is the value addition in ICAAP?
2. TRAINING COURSE LEVEL
Intermediate and advance users. This advance level workshop is aimed at teams responsible for implementing ICAAP within banks as well as usersresponsible for interpreting and applying ICAAP recommendations.
3. TRAINING COURSE PREREQUISITES
Familiarity with economic capital, local markets, portfolio management concepts and the Basel II framework.
4. COURSE OUTLINE
|Session & Title||Topics|
|Session One – ICAAP:All you ever neededto know in less than 90 minutes||Overview and introduction.Key terms and concepts.Economic Capital and Dynamic Solvency Testing models.|
ICAAP components.Integrated reporting.
|Session Two –Hands on review I||Strategic risk reporting.Sources of data. Modelling approaches Capital allocation, reporting and valuation processes.|
|Session Two –Hands on review II||Preparing an ICAAP report.Commentary and interpretation.|