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.

Jean-Philippe Maes is a partner with over 15 years of expertise in Basel III, regulatory reporting, risk management, and internal governance, including Basel IV preparation. He has supported banks, investment firms, and management companies in implementing regulatory frameworks and managing risks from operational to internal models, including COREP/FINREP reporting. Recently, his focus has been on risk appetite frameworks and non-financial risks such as climate, conduct, and reputational risks. Jean-Philippe has led significant projects like designing recovery plans, conducting governance reviews, and training over 600 bankers. He is also a frequent speaker and represents PwC at Luxembourg’s Banks and Bankers’ Association Banking Supervision Committee.