1. Requirements
We work with your team to develop ICAAP requirements, an action plan and roadmap based on:
- The unique characteristics of your institution and portfolio
- Overall institutional risk strategies, policies and appetite
- Key issues and best practices
2. Baseline
We account for major risks, assets and capabilities by identifying and evaluating:
All areas of material risk
Models and analytical tools
Departments, teams, roles and responsibilities
Measurement, management and monitoring processes
Governance and control
3. Core Capital
We build a schedule of capital under baseline conditions, incorporating:
Systemic quantifications and allocation of capital for all material risk
Confirmation of granular, consistent and repeatable results
Correlation and diversification effects
Reconciliation of capital calculations
4. Stress & Contingency
We help you with capital maintenance strategy formulation through:
Creation of relevant economic stress scenarios
Development of model inputs and assumptions
Selection of optimal testing techniques
Sensitivity analysis and stress test execution
Contingency planning
5. Finalization
We finalize the ICAAP for communication to executives, practitioners and regulators and provide you with:
ICAAP Documentation
Use Testing
Mock SREP
Training documentation