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Focus On

ICAAP and Risk appetite

OFFERING

Avantage Reply have a strong understanding of the end-to-end process and can project-manage or advise on a range of challenges, including:

  • Definition and design of ICAAP and Risk appetite frameworks (including cascading within entities and operational implementation);
  • Executive and board training on regulators and expectations;
  • Embed the ICAAP and risk appetite framework through banks’ strategic-decision making process;
  • Risk appetite metrics selection and threshold calibration;
  • Ensure the linkage between RAF/ICAAP and other key strategic processes (strategic, budget, ILAAP, Recovery and resolution plan);
  • Design and implementation of RAF and ICAAP governance framework (roles, responsibilities, segregation of duties, etc.);
  • Validation processes and three lines of defence organisational governance in the ICAAP;
  • Risk identification material assessment (risk inventory, materiality assessment framework, risk mitigation, linkage with RAF, ICAAP, and stress tests);
  • Capital management framework – capital adequacy, planning, monitoring and governance;
  • Design and implementation of quantitative models and stress tests;
  • Risk data aggregation and reporting.

RELATED CASE STUDIES

  • Case Study - ICAAP Diagnostic and Gap Analysis
  • Case Study - ICAAP - Review of Operational Risk Scenarios
  • Case Study - ICAAP - Pillar 2
  • Case Study - Basel II, Pillar 2 (ICAAP) Development and Execution
  • Case Study - Basel II, Pillar 2 (ICAAP)Pre-Implementation Analysis

RELATED CONTENTS

26.04.2017 / Luxembourg

Event

Implementing the ICAAP & ILAAP in LSIs and SIs – Lessons Learned

On 26 April 2017, Avantage Reply hosts a ICAAP/ILAAP roundtable breakfast in Luxembourg.

Stress Testing

Stress testing has long been a risk management tool used by banks to gauge their resilience to adverse or unexpected economic circumstances. As the extent, nature, complexity and timescales of stress testing becomes more demanding for banks, challenges have emerged including data quality, model suitability, control and governance; reporting and process efficiency. Avantage Reply has extensive experience working with financial institutions in all of these aspects of stress testing.

Market Risk

The way banks account for market risk in determining capital requirements, including the impact on banks’ solvency due to changes in prices affecting the trading book and changes in interest rates in the banking book, is undergoing significant change. Avantage Reply has a strong understanding of the “FRTB” and “IRRBB” requirements, has hosted events on the topic with banks, industry bodies and regulators, and is well placed to help banks navigate the challenges posed.

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