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ICLAAP = ICAAP + ILAAP and-Stress Testing (Capital & Liquidity) Masterclass

Internal Capital and Liquidity Adequacy Assessment Process Training.

Enroll now and enhance your competence and knowledge.

This course is designed to prepare and review an institution's:



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  • ICAAP - Internal Capital Adequacy Assessment Process.
  • ILAAP - Internal Liquidity Adequacy Assessment Process.
  • ICAAP + ILAAP =ICLAAP - Harmonization.

    Benefits of Attendance:

  • Participant will achieve an understanding of ICAAP, Capital Management, Liquidity Risk and Treasury Risk Management. as well as proven approach to construct an ILAAP

Details:

    1. THE ORIGINS OF ICLAAP:

  • The essence of risk management
  • Regulatory sources - The Basel papers
  • From Basel I to Basel IV and beyond
  • The perimeter of regulatory texts
  • National flavors
  • The principles
  • The pillars, the approaches
  • Governance and internal controls

    • 2. MARKET, CREDIT AND OPERATIONAL RISKS: COVERAGE AND NON-COVERAGE:

  • Banking book and trading book
  • The Fundamental Review of the Trading Book (FRTB)
  • Interest Rate risk in the banking book
  • VaR/ES shortcomings: the normality assumption and others
  • Internal model approaches
  • Handling bubbles and black swans
  • Framework for credit risk; EAD-PD-LGD model
  • Credit risk mitigation
  • Credit/Debit Valuation Adjustment
  • Standard and IRB approaches
  • The principles for operational risk management
  • 3-line defense, 4-eye principle
  • The death of AMA
  • Processes, systems and controls
  • Loss distribution approach
  • Business process and data dependencies
  • Process-based risk management
  • Risk and controls self-assessment

    • 3. LIQUIDITY RISK REGULATION:

  • Regulatory capital: recapitulation
  • Tier 1 and tier 2 capitals
  • Capital and liquidity
  • Introduction of global minimum liquidity standards
  • Prerequisites: data logistics
  • The liquidity ratios: rationale, calculation, interpretation
  • Monitoring tools
  • The counter-cyclical capital buffer
  • Interaction with Pillar 1 and 2

    • 4. MODEL VALIDATION:

  • What is modelling
  • Best practices in financial modelling
  • General issues with financial models
  • What can/will go wrong
  • Deterministic vs. stochastic and other models
  • The model approval process

    • 5. ASSET-LIABILITY MANAGEMENT ISSUES:

  • Modelling interest rates
  • Types of interest rate risks
  • Yield curve, bootstrapping
  • Duration and convexity
  • Sensitivity parameters
  • Simulation methodologies
  • Fund Transfer Pricing (FTP)
  • IFRS 9 and its consequences
  • Hedging interest rate risk in the banking book

    • 6. THE ICLAAP PROCESSAND OTHER ISSUES:

  • Regulatory vs. economic capital
  • Inventory of risks
  • Forecasting systems
  • From data to intelligence
  • Principles and application
  • Other risks: reputation, models etc.
  • Risk-based governance
  • Securitization and non-standard derivatives
  • Home-host regulation

    • 7. CONSULTATIONS IN PROGRESS AND THE WAY FORWARD:

    (According to the audience's wishes)
  • Examination and discussions on the current consultations. Discussion: what may come next.

    • 8. CASE STUDY:

  • Mini-case-studies and group discussions will be performed each day.

  • Certification Exam



    • About The Trainer:

      A Financial Risk Management Consultant with an international expertise in Risk Management methodological frameworks. His experience spans some 25 years, advising banks, software houses and others on risk management. Holds various degrees, including from London Business School, with post-graduate studies at the Technische (then West)-Berlin and Keio (Japan) universities. A Qualified in Islamic Finance (IFQ), he is a published author on risk management and Basel Accords, and a regular speaker at conferences. The client list includes ABN Amro, Barclays, Lloyds TSB, CDC Paris, Credit Suisse, DePfa, Deutsche bank, National Bank of Egypt, IBM Consulting, Sungard, the UK Regulatory body (then FSA, now PRA/FCA), Reuters and numerous other institutions of various countries and sizes. In addition to that, he offers training courses and workshops with participants from various banks around the world.

    Request a Quote

    Feel free to request a quote for corporate in-house programs or our upcoming open events. Write to us at info@meritglobaltraining.com

    Schedules

    Build skills with experts anytime, anywhere. Keep up to date with the latest trends in your industry. Explore all of our courses and pick your suitable ones to enroll and start learning!

    DATE
    TIMINGS
    QUANTITY
    PRICE
    ENROLL

    Date:Jun 12th-Feb 14th, 2023 June 12, 13 and 14. Location: Radisson Blu Hotel, Deira Creek, Dubai.
    Time : 01:00 - 09:00
    Trainer : Fred Vacelet, MBA, FRM/PRM, CTM, IFQ
    Class : In-Person
    Timezone : America/New_York
    Price : USD 1998 1498 USD

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