Compare courses
Register
Frankfurt School of Finance & Management

Ecb's Harmonized Icaap/ Ilaap (requirements)

Sep 30, 2019
Frankfurt am Main, Germany
EUR 750 ≈USD 844
EUR 750 per day

How it works

Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with Frankfurt School of Finance & Management.

Full disclaimer.

Description

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

Who should attend

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

Experts

Armin Nilles – Head of Internal Audit, Security and IT Management / Compliance at the Frankfurt School of Finance and Management. Working as a product manager in the Competence Center for Management and Audit, Mr. Neill develops and controls open and individual trainings, seminars and / or traini...

Files

Detailed Description
Detailed Description

Next dates

Sep 30, 2019
Frankfurt am Main, Germany
EUR 750 ≈USD 844
EUR 750 per day

How it works

Show more