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Developing an effective ICAAP Framework

Understand the Internal Capital Adequacy Process and realise the benefits of Economic Capital and Stress Testing.

Price: USD 1,050 per delegate

Book > 14 days in advance, only USD 900

Group discounts available: please enquire

  • Location:  Hong Kong
  • Upcoming dates: Please enquire

This practitioner led 1-day course addresses the fundamentals of the ICAAP, how to approach it to meet regulatory requirements and how best to acheive business benefit through use of economic capital and stress testing techniques.


This course is designed for anyone needing to understand the fundamentals of the Internal Capital Adequacy Assessment Process. It will give participants an understanding of the components required for an effective ICAAP, the best way to carry out within an organisation and what results the regulator is looking for.

An overview of risk and capital management will be given, explaining how ICAAP should fit alongside risk management practices and how it integrates with the Basel II capital regulations. The need to assess risks of all types that may be material to an institution, in addition to those specified in Basel Pillar 1, is critical. The course will look at the areas of concentration risk, interest rate risk and liquidity risk.

The course director will share industry best practice and regulatory views on preparation and adoption of ICAAP, including how to ensure integration with senior management and decision making, and how this can be demonstrated. A key outcome of ICAAP is preparation of documentation for the regulator. The best approaches to this, and descriptions of what must be included will be discussed.

The course will also look at some of the more advanced techniques being used alongside ICAAP for better risk and capital management. This includes the use of economic capital and how this can bring business benefit. The use of stress testing techniques has come under scrutiny following the recent economic events. The importance of stress testing, both for ICAAP and wider risk management, will be highlighted and the latest techniques in testing and scenario selection will be reviewed.


  • Gain a comprehensive, practical understanding of the ICAAP
  • Understand how the ICAAP fits in with risk and capital management, and the Basel II regulations
  • Understand how to best use the more advanced techniques of economic capital and stress testing, and current approaches being introduced
  • Appreciate the business benefits of producing an ICAAP, beyond achieving regulatory compliance
  • Understand how best to structure necessary documentation, and what the regulator expects to see


  • Board of Directors
  • CEOs, CFOs, COOs
  • Head of Risk Management, Credit Risk, Operational Risk or Market Risk
  • Risk management professionals and consultants
  • Business analysts involved with Basel II implementation
  • Company Secretary
  • Legal and Compliance
  • Accounting and Audit

Detailed Course Syllabus

The Internal Capital Adequacy Assessment Process (ICAAP)

ICAAP aims and definitions

ICAAP principles

Embedding into management processes and decision making

Global regulation for ICAAP

Basel II and ICAAP

Overview of the Basel II capital regulations

Basel structure and Pillar 1,2 and 3

Pillar 2 supervisory review and ICAAP

Pillar 2 as a holistic view of capital, not just an "add-on"

Business benefits of ICAAP and Basel Pillar 2

All risks to be considered

Overview of key risks

The importance of inclusion of risks beyond Basel Pillar 1.

Interest rate risk

Credit concentration risk

Liquidity Risk

Strategic Risk

Regulatory and Compliance Risk

Qualitative and quantitative measures for risk assessment

Key ICAAP concepts / components

Setting risk appetite

Quantitative and qualitative measures

Setting risk appetite in terms of earning volatility

Economic Capital

Economic capital and regulatory capital

The growing importance in the use of economic capital measures

Economic Capital modelling

Stress testing

What should be stress tested?

Scenario analysis

The introduction of reverse stress testing

Linking stress tests and the capital plan

Documenting the ICAAP process

Regulatory requirements

What is the ICAAP document

Regulatory guidance on document structure, contents and ownership

Components of an ICAAP document

1. Executive summary

2. Background

3. Summary of current and projected financial and capital positions

4. Capital adequacy

5. Capital planning

6. Liquidity planning

7. Aggregation and diversification

8. Challenge and adoption of the ICAAP

9. Use of the ICAAP within the Bank