< 1 min read
  1. Reverse stress testing – Simplified guide
  2. ICAAP and ILAAP guidelines for European Banks
  3. Asset Liability Management Training Guide. 3rd Edition.
  4. Yield Curve History – US Treasuries
  5. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  6. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  7. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  8. Stress Testing, ALM, Capital Adequacy online courses
  9. Understanding Stress Testing: A guide to stress testing for board members
  10. Market Risk Metrics – Volatility Trend Analysis
  11. Market Risk Metrics – Put Premium
  12. Market Risk Metrics – Sharpe and Treynor Ratios
  13. Jensen’s Alpha – Market Risk Metric
  14. Market Risk Metrics – Holding Period Return
  15. Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
  16. Basel III – Liquidity Framework – Metrics for monitoring liquidity risk
  17. Basel III – Liquidity Framework- Net Stable Funding Ratio (NSFR)
  18. Basel III – Liquidity Coverage Ratio (LCR) – The Denominator: Total Net Cash Outflows
  19. Basel III – Liquidity Framework – Liquidity Coverage Ratio (LCR) – The Numerator: Value of Stock of High Quality Liquid Assets
  20. Basel III – Liquidity framework – Introducing the supervisory approach global liquidity ratio standards
  21. Setting Risk Limits: Worst Case Loss versus Most likely loss
  22. ICAAP: Aggregating Risk: Copulas
  23. Liquidity Risk Training online video course – Episode one
  24. ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
  25. Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
  26. Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
  27. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  28. ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk
  29. ICAAP: Stress Test: Liquidity Risk
  30. ICAAP: Stress Test: Market Risk
  31. ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test
  32. ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test
  33. ICAAP: Credit Risk: Stress Test: Profitability Analysis of a bank’s loan portfolio
  34. ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates
  35. ICAAP: Credit Risk: Stress Test: How to construct a Transition Matrix
  36. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Fall in Forced Sale Value (FSV) of mortgaged collateral
  37. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Increase & Shift in NPL
  38. ICAAP Submission: Credit Risk: Stress Test: Non – Performing Loan (NPL) Stress Test
  39. ICAAP Submissions: Probability of Default (PD) Calculation
  40. Internal Capital Adequacy Assessment Process (ICAAP): Prevention and Limitation of Model Risks
  41. Internal Capital Adequacy Assessment Process (ICAAP): Model Risks
  42. Internal Capital Adequacy Assessment Process (ICAAP): Modeling Building Process
  43. Internal Capital Adequacy and Assessment Process (ICAAP): Report – main elements
  44. ICAAP: Assessment Requirements: Approach, Nature , Comparative View to MCR and Review Process
  45. ICAAP: Process Requirements: Purpose, Pre-requisites, Board of Director Responsibilities and Documentation
  46. Internal Capital Adequacy Assessment Process – Basel II
  47. Internal Capital Adequacy Assessment Process: Basel II – Background
  48. Collateral Valuation: Credit Risk: Approaches for other assets
  49. Collateral Valuation: Credit Risk: Cost Approach for real estate
  50. Collateral Valuation: Credit Risk: Income Capitalization Approach for real estate
  51. Collateral Valuation – Sales Comparison Approach for real estate
  52. Collateral Valuation: Credit Risk: Real Estate Valuation Approaches
  53. Collateral Valuation – General principles
  54. Collateral Valuation: Credit Risk: Importance of collateral valuation to credit risk management
  55. Collateral Valuation: Pledged assets and collateral law
  56. Collateral Valuation: Credit Risk: Role of collateral in Financial Intermediation
  57. Collateral Valuation – Extent of collateral & Performance indicators
  58. Collateral Valuation: Credit Risk: Definition and Types
  59. ICAAP (Internal Adequacy Assessment Process) Reporting Excel Template now available for download
  60. ICAAP: Internal Capital Adequacy Assessment – Sample ICAAP report format and table of content