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ICAAP Sample Report Template & Executive Summary	$29.99 – ICAAP – Sample Report – Nonprint$39.99 – ICAAP – Sample Report – Print

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

33

File Size

1.64 MB