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
3 mins read In this post we will continue will our overview of ICAAP. In particular we will look at how risk is
3 mins read In the first of two posts covering the ICAAP requirements we will consider the purpose of ICAAP, the pre-requisites for
4 mins read Earlier we looked at some of the preceding regulations to Basel II. We first look at some of the loopholes