- ICAAP and ILAAP guidelines for European Banks
- Asset Liability Management Training Guide. 3rd Edition.
- Yield Curve History – US Treasuries
- Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
- Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
- Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
- Understanding Stress Testing: A guide to stress testing for board members
- Market Risk Metrics – Volatility Trend Analysis
- Market Risk Metrics – Put Premium
- Market Risk Metrics – Sharpe and Treynor Ratios
- Jensen’s Alpha – Market Risk Metric
- Market Risk Metrics – Holding Period Return
- Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
- Net Stable Funding Ratio
- Liquidity Coverage Ratio – The Denominator
- Liquidity Coverage Ratio – The Numerator
- Supervisory Approach to Liquidity Ratio Standards
- Setting Risk Limits: Worst Case Loss versus Most likely loss
- ICAAP: Aggregating Risk: Copulas
- Liquidity Risk Training online video course – Episode one
- ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
- Liquidity Risk Management – Framework for Capital estimation
- Bear Stearns Liquidity Run
- Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
- ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk
- ICAAP: Stress Test: Liquidity Risk
- ICAAP: Credit Risk: Stress Test: Profitability Analysis of a bank’s loan portfolio
- ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates
- ICAAP: Credit Risk: Stress Test: How to construct a Transition Matrix
- ICAAP Submissions: Probability of Default (PD) Calculation
- Internal Capital Adequacy Assessment Process (ICAAP): Prevention and Limitation of Model Risks
- Internal Capital Adequacy Assessment Process (ICAAP): Model Risks
- Internal Capital Adequacy Assessment Process (ICAAP): Modeling Building Process
- Internal Capital Adequacy and Assessment Process (ICAAP): Report – main elements
- ICAAP: Assessment Requirements: Approach, Nature , Comparative View to MCR and Review Process
- ICAAP: Process Requirements: Purpose, Pre-requisites, Board of Director Responsibilities and Documentation
- Internal Capital Adequacy Assessment Process – Basel II
- Internal Capital Adequacy Assessment Process: Basel II – Background
- ICAAP (Internal Adequacy Assessment Process) Reporting Excel Template now available for download
- ICAAP sample report format & table of contents