HOME
 

Implementing a Robust ICAAP Framework

London Financial Studies
Course summary
2 days
English
Apprenticeship training for companies
Next available date: Contact LFS for details - Distance
Course Dates
London
Contact LFS for details  (English)
Distance
Contact LFS for details  (English)

Course description

London Financial Studies

Implementing a Robust ICAAP Framework - a practical course presented by Juan Ramirez

This two-day workshop is designed to prepare and review an institution’s Internal Capital Adequacy Assessment Process – ICAAP.

The programme will give participants a practical, hands-on tool to implement a robust ICAAP framework by providing a detailed view of the industry’s best practices and the ECB’s expectations.

Case studies simulate step-by-step how a bank produces an ICAAP framework, allowing participants to gain in-depth knowledge of the approaches to risk and capital management and their presentation in the ICAAP. The differences between smaller and larger banks' frameworks will also be highlighted.

The programme benefits from the teacher’s expertise and direct exposure to a large number of ICAAPs, supervisory reviews, leading practices and initiatives to optimise ICAAP methodologies.

Suitability - Who should attend?

This course is suitable for the following professionals:

  • Bank regulatory capital professionals
  • Finance, internal audit and risk control professionals
  • Chief financial officers
  • Treasurers
  • Central bankers
  • Bank regulators and supervisors
  • Consultants and external advisors
  • Stock analysts

Prior knowledge required:

  • Basic understanding of Basel III
  • Familiarity with the Capital Requirements Regulation (CRR)

Outcome / Qualification etc.

All LFS programmes are eligible for CE/CPD credit hours from CFA and GARP

Juan Ramirez (Course leader)

Juan Ramirez is a senior professional at one of the big 4 auditing firms, providing accounting advice on specific complex financial instruments and transactions, primarily related to (de)recognition, consolidation and hedging. He also advises banks on Basel III/IV and IFRS 9 issues, as well as being involved in all elements of capital ratios: reporting, measurement, stress testing, planning and optimization.

Juan is one of the best known professionals in hedge accounting and the link between IFRS 9 impairment model and capital. Previously, he was responsible for the marketing of strategic equity derivatives to corporate and banking clients at BNP Paribas in London.

With an MBA from University of Chicago, Juan moved to London to work at JP Morgan (Chase) and later Lehman Brothers, Barclays Capital and Banco Santander. He has devoted more than 20 years to marketing structured derivatives solutions, including commodity, credit, equity, fixed income and FX, and has witnessed at first hand the practical accounting issues related to these markets since the implementation of IFRS.

Juan is the author of “Accounting for Derivatives” and “Handbook of Corporate Derivatives and Equity Capital Markets” published by Wiley

Training Course Content

Day One

Introduction

  • ICAAP framework and its link to SREP
  • ICAAP key objectives
  • Pillar 1 vs. Pillar 2

ICAAP Supervisory Expectations

  • Historical regulatory timeline
  • EBA’s guidance on ICAAP and ILAAP
  • ECB’s seven principles on ICAAP

ICAAP Report Structure

  • Main sections of an ICAAP report
  • General information common to ILAAP
  • ICAAP specific information

Business Model and Strategy

  • Current business model
    • Core business lines, markets, geographies, subsidiaries and products
    • Main income and cost drivers allocated to core business lines, markets and subsidiaries
  • Forward-looking business strategy
    • Planned changes to the current business model and its underlying activities
    • Projections for key financial metrics
    • Link with ICAAP

Case study: Bank ABC business model and strategy

Risk Governance and Management Framework

  • Overall framework
    • Roles and responsibilities for risk taking, risk management and risk control
    • Key components of ICAAP on risk
  • Principles of risk management
  • Three lines of defense
  • Governance, roles and responsibilities – Reporting lines and frequency of regular risk management and control reporting to the management body
  • Interaction between risk measurement and monitoring and actual risk taking practice (limit setting, monitoring, dealing with breaches, etc.)
  • Risk management architecture

Case study: Bank ABC risk governance and management framework

Risk Data, Aggregation and IT Systems

  • Framework and process used to gather, store and aggregate risk data across various levels of the bank, including flow of data from subsidiaries to the group
  • Data flow and data structure of risk data used for ICAAP
  • Data checks applied for risk data used for ICAAP
  • IT systems used to gather, store, aggregate and disseminate risk data used for ICAAP 

Risk Appetite Framework

  • Risk appetite framework – Summary and objectives
  • Correspondence with the strategy and business model
  • Process and governance arrangements on the design and implementation of the risk appetite framework
  • Identification of the current or potential material risks
  • Risk limits, management action triggers and risk tolerances
  • Limit allocation framework within the group and across core business lines, markets and subsidiaries
  • Integration and use of the risk appetite framework in the risk and overall management (e.g. links to business strategy, risk strategy, ICAAP and ILAAP, including capital and liquidity planning)

Case study: Bank ABC risk appetite framework

Day Two

Internal Capital Requirements – Risks not fully captured and covered in Pillar

  • Material risks not fully captured by Pillar 1
    • Sovereign risk
    • Additional operational risk
    • Other potential risks
  • Material risks not covered by Pillar 1
    • Interest rate risk in the banking book
    • Concentration risk
    • Pension obligation risk
    • Other potential risks
  • Other risks: no capital required

Case study: Calculating concentration risk using the Herfindahl Hirschmann Index

Case study: Calculating additional operational risk using confidence intervals

Internal Capital Requirements Stress Testing and Reverse Stress Testing

  • Stress-testing programme (e.g. types of stress tests undertaken, their frequency, methodological details and models used, the range of assumptions and relevant data infrastructure)
  • Governance arrangements of the ICAAP stress-testing programme
  • Interaction (integration) between solvency and liquidity stress tests, and in particular of ICAAP-specific stress testing, and the role of reverse stress tests
  • Uses of stress testing and its integration into the risk management and control framework
  • Role of the reverse stress testing (RST)
  • RST scenario selection
  • Quantitative impact

Case study: Bank ABC stress-testing framework

Case study: Peculiarities of mortgage portfolio stress testing

Case study: Bank ABC reverse stress testing

Capital Planning

  • Capital planning framework
  • Main assumptions underlying the capital planning
  • Forward-looking view on the development of risks and capital in terms of both internal capital and regulatory own funds
  • Conclusions from capital planning such as planned issuances of various capital instruments, other capital measures (e.g. dividend policy) and planned changes to the balance sheet (e.g. sales of portfolios, etc.)

Case study: Bank ABC capital planning buffer

Case study: Calculation of the capital planning buffer

Note: The regulatory capital and accounting considerations set out in this programme are based on the teacher’s interpretation of Basel and IFRS. Institutions that the author is affiliated to can therefore by no means be associated with his interpretation.

Expenses

You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.

About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...


Read more and show all courses with this provider

Customer Outreach Award 2019

customer-outreach-badge-2019

We believe that it should be easy for you to find and compare training courses. 

Our Customer Outreach Award is presented to trusted providers who are excellent at responding to enquiries, making your search quicker, more efficient and easier, too.

Request info

Fill out your details to find out more about Implementing a Robust ICAAP Framework.

  Contact the provider

  Get more information

  Register your interest

Contact info

London Financial Studies

34 Curlew Street
SE1 2ND London

 Show phone number
www.londonfs.com

Reviews

Senior internal audit specialist
(5)
Valuable course, as an internal auditor expected to form an opinion about the effectiveness of the ICAAP framework. The tutor helped me to understand how other banks translate the (principle based) guidelines to a robust ICAAP framework by sharing his own view and best practices in the sector.
Request information

Find out more about this Implementing a Robust ICAAP Framework course - simply fill out your details:

 
U.K. L&D Report: 2018 - Benchmark Your Workplace Learning Strategy

Are you curious about the L&D strategies of some of the U.K.'s top companies?

Find out what they're up to in findcourses.co.uk's second annual U.K. L&D Report!

uk-ld-report-2019

Learn more

 
Find a course for you!

  Read the course
 summary on this page

 Fill in your details and Request information

 Receive all the info you need

 
Find more courses here