ICAAP – Credit EXCEL Example

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Product Details
Course Type: EXCEL download
Files Included: 1 worksheet

About the Course

The EXCEL example is the template used to generate the credit portfolio analysis for the ICAAP sample report. It calculates for a portfolio of advances:

  • Downgrade statistics over a period of time ϖ Ratings transition matrices for overall & industry wise segments, by number and amount
  • A breakdown of the credit portfolio by facility, sector & residual maturity
  • Principal, outstanding amount, provisions, weighted Days Past Due (DPD) by industry & non-performing loan category
  • Stress tests for NPL and the incremental provisioning required
  • Profitability of the credit portfolio including expected, best and worst case earnings

Learning objectives

After taking this course you will be able to:

  • Build rating transition matrices for a portfolio of advances
  • Summarize the credit portfolio into useful graphs and statistics for management reporting purposes
  • Calculate provisions & expected earnings/ profitability for the portfolio
  • Stress test provisions & profitability of the credit portfolio


The candidate should have some familiarity with credit portfolios and risk management frameworks. They should also be comfortable with basic mathematics, statistics, probability and EXCEL.

Target Audience

The course is aimed primarily at banking professionals and individuals responsible for risk management within banks who need to review or refresh their understanding of Capital Adequacy regulations for work, professional review, audit or personal development.

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