ICAAP Stress Testing and Capital Planning

This marcus evans conference provides the opportunity to explore the regulatory expectations for ICAAP stress testing, including the increased granularity of tests, how banks can best reflect their vulnerabilities by choosing scenarios to test risk appetite, and govern and validate stress testing models while taking IFRS 9 into account. It will also delve deeper into the impact this has on capital planning, and the relationship between ICAAP and ILAAP and recovery and resolution.

 In a mounting regulatory environment, ICAAP stress testing has been labelled the key risk management instrument that enables banks to identify the risk they are exposed to and assess the capital required to address such risks. Banks need to look at the symbiosis of ICAAP stress tests and capital planning by seeing how stress testing and scenario analysis feed into effective capital planning, with a view to optimise capital allocation.