ICAAP Policy, Risk Assessment/Measurement, Capital Budgeting and Stress Testing for a large Banking Group in GCC

The client, one of the largest banks in GCC, wanted to implement Basel II Credit Risk IRB Approach. Aptivaa undertook a diagnostic study and prepared an IRB gap assessment and recommendations report, reviewed the existing data management standards with a view to ensure capital computation and risk component modeling requirements are met. FIRB compliant models (7 models) were built and Diagnostic Study and IRB gap assessment and recommendations reports were delivered. The client successfully submitted its IRB Application Pack to the local regulator for review and approval.

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Basel II Credit Risk Internal Ratings Based (IRB) Approach Compliance for a large Banking Group in GCC

Aptivaa was required to implement the Pillar II requirements of Basel II and develop an internal capital adequacy assessment process (ICAAP). Aptivaa developed an ICAAP Governance & Policy Framework, developed methodologies for Risk Assessment & Measurement of Pillar II risks. The ICAAP Policy and ICAAP Results were approved and subsequent submission to Central Bank.

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