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 Lorenz von Below, Senior Manager at PwC Luxembourg.

Lorenz von Below is a senior manager in PwC Luxembourg’s risk management practice for the banking sector with over nine years of experience in consulting financial services providers of varying sizes and business models and with an academic background in mathematics.

His primary areas of work lie at the intersection of capital management, risk management and risk modelling, as well as the corresponding regulatory requirements He has extensive experience advising clients on risk strategy, risk appetite, and risk management as well as on quantitative finance and valuation gained at numerous institutions in Europe and beyond,

including several European and Asian globally systemically important banks as well as several multilateral development banks. He holds a PhD in mathematics and a Certificate in Quantitative Finance (CQF).