Case of NBR

IV. ICAAP- NBR approach (3)
‣ NBR assess how ICAAP is integrated into overall risk management and strategic
management practices, including capital planning, these contribute to the calculation
of additional own funds requirements and the assessment of capital adequacy (when
set up TSCR)
‣ When performing our assessments, we use all available information sources,
including regulatory reporting, ad-hoc reporting agreed with the institution, the
institution’s internal metrics and reports (e.g. internal audit report, risk
management reports, information from the ICAAP), on-site inspection reports etc.
‣ The assessment is intended to be institution-specific, but comparison with peers
are considered in order to identify potential exposure to risks to capital.
‣ In the assessment of risks to capital, we also evaluate the accuracy and prudency
of the calculation of minimum own fund requirements to identify situations where
minimum own funds calculations may underestimate the actual level of risk
‣ Both the ICAAP and stress testing processes and results comprise part of the
framework used by NBR supervisors to assess the capital adequacy of banks.
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