ICAAP – Sample Report Template & Executive Summary

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ICAAP Sample Report Template & Executive Summary

Course Contents

Demo Bank Ltd. – Sample ICAAP Credit Report
1.          Methodology

    i.            Overview
    ii.           Approach – Credit Risk Capital Allocation
    iii.          Approach – Market Risk Capital Allocation
    iv.          Approach – Interest Rate Mismatch Capital Allocation
    v.           Approach – Liquidity Risk Capital Allocation
    vi.          Approach – Concentration Risk Capital Allocation
    vii.         Approach – Operational Risk Capital Allocation
    viii.        Approach – Reputational and Legal Risk Capital Allocation
    ix.          Approach – Strategic Risk Capital Allocation
    x.           Approach – Other Risk Factors

2.          Risk Aggregation

    i.            Credit Risk
    ii.           Market Risk
    iii.          Operational Risk
    iv.          Liquidity Risk
    v.           Interest Rate Mismatch Risk
    vi.          Concentration Risk
    vii.         Aggregation

3.          Credit Portfolio Review

    i.            Portfolio Composition
    ii.           Customer Base
    iii.          Maturity
    iv.          Concentration

4.          Internal Capital Adequacy

    i.            Summary of Results
    ii.           Credit Risk Capital Adequacy – Baseline Capital
    Iii.          Credit Risk Capital Adequacy – Internal Ratings and Rating Transitions
    iv.          Putting It Together – Rating Transitions and Profitability Analysis
    v.           Worst Case Provisioning
    vi.          Infection Ratios
    vii.         Using DPD Analysis for Projections
    viii.        Additional Supporting Capital Required
    ix.          Best Case Provisions
    x.           Transition Matrices by Industry and Amount
    xi.          Rating Grade Transitions

5.          ICAAP Assumptions

    i.            Model Parameter Assumptions

6.          Data Sources
Table of Figures 

Number of pages


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