ECB's Harmonized ICAAP / ILAAP (requirements)

Frankfurt School of Finance & Management

How long?

  • 1 day
  • in person

What are the topics?

Frankfurt School of Finance & Management

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Who should attend

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

About the course

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

Videos and materials

ECB's Harmonized ICAAP / ILAAP (requirements) at Frankfurt School of Finance & Management

From  850 EUR$989

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Full disclaimer.

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