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Internal Capital Adequacy Assessment Process (ICAAP)

Modern economic capital allocation in banks

21 & 22 March 2013 – Singapore

Why should you attend?

Prior to 2008, most banks responded to the Basel II recommendations by developing Basel II compliant capital allocation models augmented by internal capital models based on correlations that accounted for banks own portfolio specificities. Aside from the break-up of correlation assumptions, these models failed as management decision support tools due to their inabilities to incorporate funding liquidity risk coupled with tail end credit default conditions. Post financial crisis, banks have been enhancing their ICAAP models by using stochastic Gaussian copula based credit state dependencies and by incorporating funding liquidity constraints driving capital. The Basel III regulatory recommendations have taken a bold step in the same direction by introducing the three additional minimal ratios: the leverage ratio, the liquidity ratio and the net stable funding ratio.

This course aims at introducing the new capital allocation models employed by leading international banks incorporating the above changes as means to make capital allocation more actionable and more robust to stress scenarios, like the crisis spearheaded by Lehman Brothers collapse. It provides you with a thorough understanding of the Internal Capital Adequacy Assessment Process (ICAAP) and its elements, and how they fit into an institutional framework with respect to risk-bearing capacity, aggregation, monitoring, reporting, capital allocation, and stress testing.   It will elucidate some of the post financial crisis best practices in allocating economic and regulatory capital under severe liquidity constraints while incorporating the experiences from 2007-2008.

Key Benefits:

  • Getting hands-on cases of international best practices for modern economic capital allocation
  • Examining how to perform best in class stress tests for liquidity aligned
  • Learning how to look critically at risk and how it can be managed and controlled
  • Gain new techniques aimed at implementing adequate ICAAP policies and procedures and infrastructure

Who Should Attend?

  • Capital Markets Managers
  • Basel III Project Managers
  • Corporate Treasurers
  • CFOs
  • Financial Accounting Managers
  • Risk Managers & Risk Controllers from all risk related depts.
  • Management Accountants
  • External/ Internal Auditors
  • Head of Liquidity/ALM