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Target Audience

Staff members from risk, finance, internal audit, regulatory affairs, regulatory reporting, validation, consultants, external auditors.

Learning Target

Participants understand the structure of ICAAP/ ILAAP requirements. They get to know major challenges (for sector and individual banks). Furthermore, they understand what are the “must have”, “nice to have” and “can wait” components and be able to quickly identify gaps in own organizations.
 
 

Contents

  • Remark: The seminar will be benchmarking ECB’s requirements against latest sector experience
  • ICAAP and ILAAP Overview
    • Definition and components of ICAAP and ILAAP
    • What is not part of ICAAP / ILAAP?
    • Interaction: ICAAP / ILAAP / SREP
    • Development of regulatory requirements of ICAAP / ILAAP across time (MaRisk, EBA Guidelines, ECB Expectations)
    • Capital and Liquidity Adequacy Statements

  • ICAAP and ILAAP Governance: requirements, implementation options, and -challenges
  • ICAAP and ILAAP Linkage into Risk Management: requirements, implementation options, and -challenges
    • Documentation and regulatory reporting in SREP

  • ICAAP and ILAAP Normative perspective vs. economic perspective
    • Methodological requirements
    • Commonalities and differences
    • Scenario generation: selection and consistency
    • Implementation options and -challenges

  • ICAAP and ILAAP Risk inventory
    • From business model to material risks
    • Quantification requirements and materiality
    • Priorisation and standardising
    • Implementation options and -challenges

  • ICAAP: Capital and capital components
    • (Non) eligible components
    • Adjustments
    • Interplay between capital under Pillar 1, normative- and economic perspective

  • ILAAP: Liquidity buffer and stable funding
    • (Non) eligible components
    • Adjustments
    • Interplay between liquidity buffer under Pillar 1, normative- and economic perspective
    • Interplay between stable funding under Pillar 1, normative- and economic perspective

  • ICAAP and ILAAP: Risk models
    • Requirements, implementation options and -challenges
    • Requirements on validation
    • Interplay between statistical (EaR, VaR) and non-statistical (stress tests, scenario analyses) modelling approaches

  • ICAAP and ILAAP: Stress Testing (in combination with EBA guidelines on Stress Testing)
    • Which stress tests need to be run at which frequency?
    • Requirements and design of stress tests
    • Inverse stress tests

  • Wrap up and outlook

Methodology

Presentation, interactive Q&A, Sector benchmarking

 

Duration

1 day

Product info

Dates

Group discount available (10 % for every additional participant per company and date)

Functional Questions

Organisational Questions