ICAAP/ILAAP Reports Update and Enhancement.
Avantage Reply assisted a client with their objective to produce two regulatory reports namely the Internal Capital Adequacy Assessment Process (‘ICAAP’) and the Internal Liquidity Adequacy Assessment Process (‘ILAAP’).
The major challenge was to understand the business model of the client to a sufficient manner (a bank subsidiary with a branch) involved and propose a methodology for the capital add-on calculations under the Pillar II framework as well as the capital planning and capital ratios projection.
Avantage Reply produced the necessary reports, additional procedures and memos. Moreover, new methodologies were introduced, accompanied by the necessary documentation allowing the Risk team to perform the process autonomously in the future.
The client’s goal was to produce two regulatory reports that assess the bank‘s capital and liquidity requirements from both a normative and economic perspectives to be compliant with the local regulator.
The major challenge was to understand the diverse business model of the bank, for the subsidiary and the branch, and to propose a well-suited methodology for the capital add-on calculations under Pillar II as well as the capital planning and capital ratios projection.
In addition to completing the calculation methodologies, another challenge was to review the previous approach and make sure it was aligned with the business model.
Avantage Reply reviewed the integrality of the client’s methodology, aligned it with the regulator’s expectations based on the business model of the bank (subsidiary and the branch) and best market practices.
Avantage Reply also proposed a new approach to cover additional risks. These have been accompanied by the necessary documentation (procedures, memos and Excel working files) allowing the Risk team to be autonomous during the next review.