Basel III: Enhancements to Basel II: Firm-specific changes
4 mins read Basel II framework and global banking regulations weaknesses and loopholes were exposed in the recent financial crisis. The ineffectiveness of
The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
7 mins read The ICAAP (Internal Capital Adequacy Assessment) Roadmap post reviews the core topics in a crash course format for Internal Capital Adequacy Assessment.
ICAAP: Stress Test: Liquidity Risk
2 mins read We cover some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.
ICAAP: Stress Test: Market Risk
2 mins read We will cover some of the ways in which market risk can be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying interest rate and equity shocks, as well as Worst-Case MTM Stress Tests.
ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test
< 1 min read A look at how stress test shocks are applied to various elements of the profitability analysis to determine their impacts on the profitability of the bank’s loan portfolio.
ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test
3 mins read In this post we discuss one way of stress testing a rating grades transition matrix. The stressed transition matrix will then be used in the other credit risk quantification calculations. The revised results will be compared to the original credit risk quantification calculations to determine the impact of the stress test.