< 1 min read In this post we will go through the step-by-step methodology of carrying out a profitability analysis of the bank’s loan portfolio. This in itself is a kind of a stress test for credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) as it also computes a worst case profitability scenario.
< 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).
< 1 min read One way of stress testing credit risk under the Internal Capital Adequacy and Assessment Process (ICAAP) is to stress test the rating grades transition matrix. In the post below we will first look at how a rating grades transition matrix is constructed.
2 mins read Using internal models as part of the Internal Capital Adequacy and Assessment Process (ICAAP) exposes the bank to model risk. This post is based on the paper “Model Risk” by Emanuel Derman (Quantitative Strategies Research Notes – April 1996).
2 mins read Under the Internal Capital Adequacy and Assessment Process (ICAAP) the bank will make use of internal models to assess, quantify
2 mins read Earlier we had considered the importance of documentation of the ICAAP process. In this post we will look at some