- Remark: The seminar will be benchmarking ECB’s requirements against latest sector experience
- ICAAP and ILAAP Overview
- Definition and components of ICAAP and ILAAP
- What is not part of ICAAP / ILAAP?
- Interaction: ICAAP / ILAAP / SREP
- Development of regulatory requirements of ICAAP / ILAAP across time (MaRisk, EBA Guidelines, ECB Expectations)
- Capital and Liquidity Adequacy Statements
- ICAAP and ILAAP Governance: requirements, implementation options, and -challenges
- ICAAP and ILAAP Linkage into Risk Management: requirements, implementation options, and -challenges
- Documentation and regulatory reporting in SREP
- ICAAP and ILAAP Normative perspective vs. economic perspective
- Methodological requirements
- Commonalities and differences
- Scenario generation: selection and consistency
- Implementation options and -challenges
- ICAAP and ILAAP Risk inventory
- From business model to material risks
- Quantification requirements and materiality
- Priorisation and standardising
- Implementation options and -challenges
- ICAAP: Capital and capital components
- (Non) eligible components
- Adjustments
- Interplay between capital under Pillar 1, normative- and economic perspective
- ILAAP: Liquidity buffer and stable funding
- (Non) eligible components
- Adjustments
- Interplay between liquidity buffer under Pillar 1, normative- and economic perspective
- Interplay between stable funding under Pillar 1, normative- and economic perspective
- ICAAP and ILAAP: Risk models
- Requirements, implementation options and -challenges
- Requirements on validation
- Interplay between statistical (EaR, VaR) and non-statistical (stress tests, scenario analyses) modelling approaches
- ICAAP and ILAAP: Stress Testing (in combination with EBA guidelines on Stress Testing)
- Which stress tests need to be run at which frequency?
- Requirements and design of stress tests
- Inverse stress tests
- Wrap up and outlook
