ICAAP (Internal Capital Adequacy Assessment Process)

One of the key principles of risk management for financial institutions, both from a regulatory and from an economic point of view, is that any bank must at all times have sufficient capital in relation to the risks it is facing. This notion has been formalised e. g. in the ECB's ICAAP guidelines as well as in the CSSF's circular 20/753.

This course will enable participants to:

• understand the purpose and regulatory background of the Internal Capital Adequacy Assessment Process (ICAAP);
• understand how to establish and document an ICAAP that covers the full range of risks facing their bank in line with best practices.

• Purpose of the internal capital adequacy assessment process: regulatory background
• Elements of an ICAAP and the ICAAP documentation
• Measuring financial and non-financial risks for ICAAP purposes across the economic and the normative perspective
• Case studies

This training is coordinated by Jean-Philippe Maes, Partner at PwC Luxembourg and Vadim Bordian, Director at PwC Luxembourg.

Jean-Philippe is a partner in PwC's Regulatory Compliance services. He leads the firm’s banking and PFS risk Advisory team and is the lead advisor for CRD/CRR topics.

He has over 15 years of experience in Basel III areas and has helped many banks, investment firms and management companies to implement Basel III and prepare for Basel IV. He has worked in most dimensions of risk management, from operational risk to internal models, encompassing reporting aspects (such as COREP/FINREP) and governance matters.

Lately, Jean-Philippe has been focusing on risk appetite frameworks and the management of non-financial risks such as climate, conduct or reputational risks.

Vadim has more than 7 years of risk consulting experience in implementing risk management solutions for financial services as well as technical and regulatory external audit support.

He holds the FRM designation issued by the Global Association of Risk Professionals and is a graduate of the EDHEC business school.

In his role, Vadim supports clients on the modeling and management of credit risk, market risk, funding and liquidity as well as on the related regulations.