08-Internal Capital Adequacy Assessment Process (ICAAP) - METAC

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COMPARISON OF <strong>ICAAP</strong> MEASURES AND REGULATORY CAPITAL For credit risk 19
COMPARISON OF <strong>ICAAP</strong> MEASURES AND REGULATORY CAPITAL • A comparison to be made very carefully – Scope of risks differs (RC relates to Pillar 1 risks, whereas EC extends to Pillar 2 risks) – Assigned resources differ (RC is covered by Total capital, whereas EC is covered by Tier 1) • But which proves worthwhile – At the bank-wide, cross-risk level – At the risk-type level 20
Page 1 and 2: Internal Capital Adequacy Assessmen
Page 3 and 4: INTRODUCTION • Basel II: a prereq
Page 5 and 6: BASEL II AND III: STILL THREE PILLA
Page 7 and 8: WHAT ARE THE MAIN ICAAP EXPECTATION
Page 9 and 10: WHO IS RESPONSIBLE FOR THE ICAAP
Page 11 and 12: ICAAP BUILDING BLOCKS The new frame
Page 13 and 14: WHAT IS THE SCOPE OF RISKS Types o
Page 15 and 16: ICAAP METHODOLOGIES Regulatory capi
Page 17 and 18: ECONOMIC CAPITAL MEASURE : AMA EXAM
Page 19: CAPITAL CALCULATION Pillar 1 ICAAP
Page 23 and 24: ICAAP USE TEST DATA INPUTS AND SYST
Page 25 and 26: ICAAP USE TEST • AREAS OF USE •
Page 27 and 28: ICAAP ASSESSMENT On-site missions o
Page 29 and 30: MAIN CHALLENGES • Improvements ar
Page 31 and 32: MAIN CHALLENGES : COMPARISON • Co
Page 33 and 34: ANNEX 1 : PRUDENTIAL FRAMEWORK 32
Page 35 and 36: ANNEX 2 : JOINT ASSESSMENT OF THE I
Page 37 and 38: COMMON SCORES FOR ASSESSMENT OF THE
Page 39 and 40: ANNEX 3: DETERMINATION OF THE ADEQU
Page 41: SUMMARY INFORMATION ON RISK-BASED C

08-Internal Capital Adequacy Assessment Process (ICAAP) - METAC

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