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ALL ICAAP Posts

All ICAAP Posts

  1. A simplified guide for reverse stress testing
  2. ICAAP and ILAAP guidelines for European Banks.
  3. Asset Liability Management Training Guide. 3rd Edition.
  4. Bank Asset Liability Management (ALM) – A quick review of ALM strategies
  5. A visual history of US Treasury yield curve shifts from 1978 – 2014
  6. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  7. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  8. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  9. Stress Testing, ALM, Capital Adequacy online video courses
  10. Understanding Stress Testing: A guide to stress testing for board members
  11. Market Risk Metrics – Volatility Trend Analysis
  12. Market Risk Metrics – Put Premium
  13. Market Risk Metrics – Sharpe and Treynor Ratios
  14. Market Risk Metrics – Jensen’s Alpha
  15. Market Risk Metrics – Holding Period Return
  16. Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
  17. Basel III – Liquidity Framework – Metrics for monitoring liquidity risk
  18. Basel III – Liquidity Framework- Net Stable Funding Ratio (NSFR)
  19. Basel III – Liquidity Coverage Ratio (LCR) – The Denominator: Total Net Cash Outflows
  20. Basel III – Liquidity Framework – Liquidity Coverage Ratio (LCR) – The Numerator: Value of Stock of High Quality Liquid Assets
  21. Basel III – Liquidity framework – Introducing the supervisory approach global liquidity ratio standards
  22. Setting Risk Limits: Worst Case Loss versus Most likely loss
  23. ICAAP: Aggregating Risk: Copulas
  24. Liquidity Risk Training online video course – Episode one
  25. ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
  26. Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
  27. Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
  28. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  29. ICAAP Training Workshops – 3 days – Langkawi, Malaysia, March 2011
  30. Internal Capital Adequacy Assessment and Treasury Risk Workshop – Langkawi, Malaysia, March 2011
  31. ICAAP Models, ALM, Interest Rate Simulations for ICAAP, Langkawi
  32. ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk
  33. The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
  34. ICAAP: Stress Test: Liquidity Risk
  35. ICAAP: Stress Test: Market Risk
  36. ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test
  37. ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test
  38. ICAAP: Credit Risk: Stress Test: Profitability Analysis of a bank’s loan portfolio
  39. ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates
  40. ICAAP: Credit Risk: Stress Test: How to construct a Transition Matrix
  41. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Fall in Forced Sale Value (FSV) of mortgaged collateral
  42. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Increase & Shift in NPL
  43. ICAAP Submission: Credit Risk: Stress Test: Non – Performing Loan (NPL) Stress Test
  44. ICAAP Submissions: Probability of Default (PD) Calculation
  45. Internal Capital Adequacy Assessment Process (ICAAP): Prevention and Limitation of Model Risks
  46. Internal Capital Adequacy Assessment Process (ICAAP): Model Risks
  47. Internal Capital Adequacy Assessment Process (ICAAP): Modeling Building Process
  48. Internal Capital Adequacy and Assessment Process (ICAAP): Report – main elements
  49. ICAAP: Assessment Requirements: Approach, Nature , Comparative View to MCR and Review Process
  50. ICAAP: Process Requirements: Purpose, Pre-requisites, Board of Director Responsibilities and Documentation
  51. Internal Capital Adequacy Assessment Process (ICAAP): Basel II
  52. Internal Capital Adequacy Assessment Process (ICAAP): Basel II – Background: Great Depression, Regulation Q, Basel I
  53. Collateral Valuation: Credit Risk: Approaches for other assets
  54. Collateral Valuation: Credit Risk: Cost Approach for real estate
  55. Collateral Valuation: Credit Risk: Income Capitalization Approach for real estate
  56. Collateral Valuation: Credit Risk: Sales Comparison Approach for real estate
  57. Collateral Valuation: Credit Risk: Real Estate Valuation Approaches
  58. Collateral Valuation: Credit Risk: General principles
  59. Collateral Valuation: Credit Risk: Importance of collateral valuation to credit risk management
  60. Collateral Valuation: Credit Risk: Collateral and Collateral Law
  61. Collateral Valuation: Credit Risk: Role of collateral in Financial Intermediation
  62. Collateral Valuation: Credit Risk: Extent of collateral & Performance indicators for collateral
  63. Collateral Valuation: Credit Risk: Definition and Types
  64. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing Options
  65. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing Bonds
  66. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Derivation of Short Rates
  67. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results
  68. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
  69. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice
  70. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices
  71. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree
  72. ICAAP (Internal Adequacy Assessment Process) Reporting Excel Template now available for download
  73. ICAAP: Internal Capital Adequacy Assessment – Sample ICAAP report format and table of content