ICAAP Submission: Credit Risk: Stress Test: Non – Performing Loan (NPL) Stress Test
2 mins read Stress testing of all risk factors in order to arrive at the capital requirements for the worst case scenario for credit risk.
2 mins read Stress testing of all risk factors in order to arrive at the capital requirements for the worst case scenario for credit risk.
2 mins read A methodology of calculating Probability of Default (PD) which is based on historical data.
2 mins read Internal models used in the Internal Capital Adequacy and Assessment Process (ICAAP) exposes the bank to model risk and here we discuss some of the ways in which this risk may be avoided or limited.
2 mins read Using internal models as part of the Internal Capital Adequacy and Assessment Process (ICAAP) exposes the bank to model risk. This post is based on the paper “Model Risk” by Emanuel Derman (Quantitative Strategies Research Notes – April 1996).
2 mins read Under the Internal Capital Adequacy and Assessment Process (ICAAP) the bank will make use of internal models to assess, quantify
2 mins read Earlier we had considered the importance of documentation of the ICAAP process. In this post we will look at some