< 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. Understanding Stress Testing: A guide to stress testing for board members
  9. Market Risk Metrics – Volatility Trend Analysis
  10. Market Risk Metrics – Put Premium
  11. Market Risk Metrics – Sharpe and Treynor Ratios
  12. Jensen’s Alpha – Market Risk Metric
  13. Market Risk Metrics – Holding Period Return
  14. Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
  15. Liquidity Risk Monitoring
  16. Net Stable Funding Ratio
  17. Liquidity Coverage Ratio – The Denominator
  18. Liquidity Coverage Ratio – The Numerator
  19. Supervisory Approach to Liquidity Ratio Standards
  20. Setting Risk Limits: Worst Case Loss versus Most likely loss
  21. ICAAP: Aggregating Risk: Copulas
  22. Liquidity Risk Training online video course – Episode one
  23. ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
  24. Liquidity Risk Management – Framework for Capital estimation
  25. Bear Stearns Liquidity Run
  26. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  27. ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk
  28. ICAAP: Stress Test: Liquidity Risk
  29. ICAAP: Stress Test: Market Risk
  30. ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test
  31. ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test
  32. ICAAP: Credit Risk: Stress Test: Profitability Analysis of a bank’s loan portfolio
  33. ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates
  34. ICAAP: Credit Risk: Stress Test: How to construct a Transition Matrix
  35. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Fall in Forced Sale Value (FSV) of mortgaged collateral
  36. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Increase & Shift in NPL
  37. ICAAP Submission: Credit Risk: Stress Test: Non – Performing Loan (NPL) Stress Test
  38. ICAAP Submissions: Probability of Default (PD) Calculation
  39. Internal Capital Adequacy Assessment Process (ICAAP): Prevention and Limitation of Model Risks
  40. Internal Capital Adequacy Assessment Process (ICAAP): Model Risks
  41. Internal Capital Adequacy Assessment Process (ICAAP): Modeling Building Process
  42. Internal Capital Adequacy and Assessment Process (ICAAP): Report – main elements
  43. ICAAP: Assessment Requirements: Approach, Nature , Comparative View to MCR and Review Process
  44. ICAAP: Process Requirements: Purpose, Pre-requisites, Board of Director Responsibilities and Documentation
  45. Internal Capital Adequacy Assessment Process – Basel II
  46. Internal Capital Adequacy Assessment Process: Basel II – Background
  47. Collateral Valuation: Credit Risk: Approaches for other assets
  48. Collateral Valuation: Credit Risk: Cost Approach for real estate
  49. Collateral Valuation: Credit Risk: Income Capitalization Approach for real estate
  50. Collateral Valuation – Sales Comparison Approach for real estate
  51. Collateral Valuation: Credit Risk: Real Estate Valuation Approaches
  52. Collateral Valuation – General principles
  53. Collateral Valuation: Credit Risk: Importance of collateral valuation to credit risk management
  54. Collateral Valuation: Pledged assets and collateral law
  55. Collateral Valuation: Credit Risk: Role of collateral in Financial Intermediation
  56. Collateral Valuation – Extent of collateral & Performance indicators
  57. Collateral Valuation: Credit Risk: Definition and Types
  58. ICAAP (Internal Adequacy Assessment Process) Reporting Excel Template now available for download
  59. ICAAP sample report format & table of contents