Internal Capital Adequacy

Assessment
Process (ICAAP)

Introduction:

A program created to help banks &

institutions to design and assess their
ICAAP programs. The ICAAP is inten-
sive, and its production engages a
banking organisation round the year in
some form. This program deliberates
into a structured way for moving deep
into ICAAP for decision-makers – by
connecting theory & best practices with
application – by negotiating and inte-
grating elements of risk, strategy, capi-
tal, and decision-making.

Fees
Rs. 30000/- plus
applicable taxes
Training Format
Classroom Training
Learning Outcomes
• The program will provide the participants with an in-depth view on ICAAP by
breaking it down to its constituent components.
• Translating actionables from best practices and regulatory expectations, inte-
grating in the program, and presenting in the Report.
• Delve into ICAAP approaches, models & methodologies, governance, and sys-
tems.
• Illustration (and case-study) based approach to presentation, for block-by-block
recreation of an ICAAP framework.
• Risk based performance measurement and capital management.

Duration Who should attend?

2 days • Leaders from department levels Heads of department and Senior &
experienced staff from
• Risk Management department
• Compliance
Level • Internal Audit
Intermediate • Finance, Strategy

Programme Details:
Date
July 8-9 , 2024
Timings
09:30 am to 05:30 pm
Day 1

1. Basel Pillar 2 Overview

• Supervisory expectations
• The principles
• Risk, control, and capital

2. ICAAP Framework 1
• Regulatory prescriptions
• Governance & risk
• Systems and processes

3. ICAAP Framework 2
• RAS and risk coverage
• Projections
• Risk management process

4. ICAAP Framework 3
• Risk models
• Loss estimates

5. Interest Rate Risk in the Banking Book (IRRBB)

• Balance sheet analysis and segmentation
• Scenarios and models
• Risk estimation

6. Market and Liquidity Risk

• Valuation and models
• Systems; monitoring & review
• Liquidity risk - LCR and NSFR
Day 2

7. Credit risk under pillar 2

• RWA and mitigant reassessment
• Rating system
• Counterparty Credit Risk (CCR)

8. Other Pillar 2 risks – 1

• Approach
• Model Risk
• Reputational Risk

9. Other Pillar 2 risks – 2

• Technology & Cyber risk
• People risk
• Resilience
• Other risks

10. Stress testing and model risk

• Approach
• Scenarios and stress testing
• Application and control

11. Capital calculation and assessment

• Pillar-2 RWAs
• Capital adequacy and planning
• Liquidity planning case study

12. Pillar-2 application

• Risk based performance

• Evaluation units, strategic plans, performance, and capital allocation
• ICAAP report
 Presentation

Pedagogy

Caselet based illustration

Trainer Profile
He is a risk management professional with 25 years of experience.
During his stint at derivatives exchange NCDEX, he was responsible for risk management of the exchange and its
clearing function, he developed and deployed its in-house risk management system capable of handling option
trades.

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Assessment Process (ICAAP)
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signature
Tailor the programme
• This programme can be tailormade to meet your organisations skill requirement

Discounts
• Avail the Early bird discount of 10% if you register by 30 March 2024

Language
• The course will be conducted in English

Training material
The training material will be available on www.training.crisil.com which can be viewed post your completion of the
training. The material cannot be downloaded, copied or shared. To get access to the material please follow the
guidelines which will be shared over an email with you once you complete the training.

Registration process
• You can also write to us at crisil1academy@crisil.com mentioning the programme name & number of nominations

Contact us

Pooja Yadav Suchandra Watwe

+91 7777073996 +91 8454973018
Pooja.Yadav1@crisil.com Suchandra.Watwe@crisil.com

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