ICAAP – Learning Roadmap

Under Basel II’s Pillar 2, a bank must have an Internal Capital Adequacy Assessment Process (ICAAP) in place. ICAAP consists of internal procedures and systems that ensure that the bank will possess adequate capital resources in the long term to cover all of its material risks. It involves the determination of economic capital as opposed to regulatory capital and is a process that is run in parallel to the regulatory capital requirement determination process. ICAAP should be an integral part of the bank’s processes and must be embedded within the organization and supported by senior management and the Board of Directors (BOD).

What are the prerequisites?

The VaR measure is a very important tool for the ICAAP process. The following courses review its calculation methodology and use of the VaR measure:

What topics are covered?

We begin with an overview and discussion of the core concepts of ICAAP and the background behind Basel II. We also present some of the changes that Basel III has in store regarding Capital Adequacy requirements. These topics are considered in the following courses:

What are the additional topics I can read up on?

Other topics that will be useful for assessing risk and capital requirements are:

Premium Content:

PDF & EXCELOnline Courses
  1. ALM – Crash Course
  2. ALM – Crash Course – EXCEL Examples (Examples include: Cost to close liquidity gaps, Cost to close interest rate risk, Earnings at risk, Market value of equity)
  3. Basel III – Liquidity Framework
  4. Basel & ICAAP – Package
  5. Calculating VaR – Includes case study
  6. Calculating VaR – EXCEL Example
  7. Collateral Valuation in Credit Risk Management
  8. Duration Convexity – EXCEL Example
  9. ICAAP – Overview & Core Concepts
  10. ICAAP Sample Report Template & Executive Summary
  11. ICAAP – Credit EXCEL Example
  12. Setting Counterparty Limits
  13. Setting Limits – EXCEL Example

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