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