European Institute of Management and Finance | ICAAP: Pillar II Risk Management Framework
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ICAAP: Pillar II Risk Management Framework

ICAAP: Pillar II Risk Management Framework

 

Under Pillar 2 of the Basel accord, a bank must have an Internal Capital Adequacy Assessment Process (ICAAP) in place. ICAAP consists of internal procedures and systems that ensure that the investment firms and banks will possess adequate capital resources in the long term to cover all of its material risks. It involves the determination of economic capital as opposed to regulatory capital and is a process that is run in parallel to the regulatory capital requirement determination process.

 

Economic capital is the capital required to cover all risks that are estimated using internal risk models of the bank. ICAAP should be an integral part of the bank’s processes and must be embedded within the organization. Senior management and the Board of Directors (BOD) should be supportive and fully engaged in the process.

 

 

Objectives

 

This course outlines the CIF’s responsibility to perform an internal capital adequacy assessment. It examines the process and methodology that will need to be performed while investigating the risk management framework which needs to be established according to Basel guidelines. It also looks the responsibilities of the different functions as regards the risk assessment and sets out the contents of the report that must be produced so as to satisfy CySEC’s requirement. Finally, it describes the process which CySEC undertakes to perform the SREP.
Objectives

 

Once you’ve completed this course, you’ll have a knowledge of:

 

  • The intended role of the ICAAP and its place in Basel Accord
  • How initial capital adequacy can be determined and how capital can be allocated in accordance with the firm’s risk profile
  • How to structure and draft the ICAAP
  • How to consider group-wide methodologies for risk measurement
  • How to stress test various risk measures
  • How to formulate and articulate stress tests
  • Developing ICAAP documentation for presentation to boards, shareholders and regulators

 

 

Content

 

  • Basel Capital Accord
  • Economic capital vs Regulatory capital
  • Pillar 1,Pillar 2, Pillar 3
  • The Internal Capital Adequacy Assessment Process
  • Risk management
  • ISO 31000
  • The Implementation of the ICAAP
  • Enterprise Risk Management (ERM)
  • Levels of Applications
  • Risk Register
  • Stress Testing
  • Responsibility of the Senior Management and the Board of Directors
  • ICAAP Methodology
  • Critical Success Factors for ICAAP Implementation
  • The Key Types of Risk
  • The Supervisory Review and Evaluation Process (SREP)

 

 

Who should attend

 

  • Risk managers
  • Heads of risk management
  • Board members
  • Chief financial officers
  • Auditors
  • Compliance officers
  • Accounting professionals
  • Portfolio managers