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Tag Archives: ICAAP


A simplified guide for reverse stress testing

A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare under it. Compared to reverse stress testing, conventional stress tests are used to assure shareholders, regulators and customers that the capital on bank balance sheet


ICAAP and ILAAP guidelines for European Banks.

ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an internal review requirement that evaluates capital adequacy, capital management and planning at banks with a specific focus on core risk factors. Expected to be reviewed

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Market Risk Metrics – Put Premium

The put premium gives the conditional expectation of loss beyond the worst case loss, if the worst case loss occurred. In more friendly language this means: Value at Risk (VaR) is a point estimate for the worst case loss. It is described at a given

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Market Risk Metrics – Holding Period Return

The Holding Period Return represents the return earned by an instrument (e.g. an equity stock) over the time that it is held by an entity or alternatively over the period of analysis. A positive return indicates that the value of the instrument has grown in