As part of the ICAAP, we assess the material risks as defined by Basel II, namely:
- Adequacy of Pillar I risks namely Credit, Market and Operational risks
- Risks not fully-covered under Pillar I, namely Residual Risks and Securitization Risks, Interest Rate Risk in the Banking Book, Liquidity Risk, Concentration Risk, Reputation Risk, Underwriting Risk, Settlement Risk, Strategic Risk, Pension Obligation Risk and other risks to which a bank or financial institution may be materially exposed
- Risks due to macro-economic factors and external shocks, such as changes in interest rates, oil price, GDP Growth, cost of labor etc.
Our framework identifies the key risks applicable and defines the assessment and quantification methodology for each of these risks. The techniques used in assessing material risks are fine-tuned so that they are commensurate with the scope and complexity of the institution’s risk taking activities. The ICAAP Framework includes Excel-based templates which can be used on an ongoing basis for regular assessment and internal reporting.
Furthermore, we provide scorecards for qualitative risks such as Reputation Risk and Business Risk, which are calibrated to provide a capital charge based on their assessment.