ICAAP and ILAAP

Enhancing Risk Management and Regulatory Compliance

Expertise, guidance, and peace of mind through every step of your ICAAP and ILAAP journey

The Internal Capital Adequacy Assessment Process (ICAAP) and the Internal Liquidity Adequacy Assessment Process (ILAAP) are crucial frameworks for financial institutions. They are designed to manage risks effectively, determine appropriate capital and liquidity levels, ensure regulatory compliance, and facilitate strategic decision-making.

By conducting a comprehensive analysis of various risks, including (residual) credit risk, credit concentration risk, market risk, operational risk, liquidity risk, and strategic risk, financial institutions can identify potential vulnerabilities and implement measures to mitigate these risks.

From a regulatory perspective, ICAAP and ILAAP are expected to grow in importance, which banks should take into account for the future. Traditionally performed separately, ICAAP and ILAAP are becoming more integrated, reflecting the interconnected nature of capital and liquidity risks. This integration poses some challenges, as these processes are often managed by different functions within a bank. However, it also presents an opportunity to create a more cohesive and efficient risk management framework.

By aligning ICAAP and ILAAP, financial institutions can enhance governance and oversight, conduct more effective stress testing and scenario analysis, and ultimately build a stronger foundation for long-term stability and success.

How does Finalyse address your challenges?

We conduct comprehensive assessments of capital and liquidity adequacy, considering risk factors, stress testing scenarios, and regulatory requirements.

We perform independent reviews and audits to validate the accuracy and reliability of ICAAP/ILAAP processes and ensure regulatory compliance.

We assist institutions in identifying and assessing these various risks, including credit concentration risk, market risk, operational risk, liquidity risk, strategic risk, etc.

We provide guidance on establishing robust governance structures and effective oversight mechanisms to ensure the integrity and reliability of the ICAAP/ILAAP processes.

We develop strategic capital and liquidity plans, optimize capital allocation, and implement contingency measures to enhance capital and liquidity management practices.

For ICAAP, we employ advanced stress testing methodologies to simulate adverse scenarios and evaluate the impact on capital adequacy, helping clients identify vulnerabilities and mitigate risks.

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Key Features

Ensuring compliance with regulations and benchmarking against several jurisdictions across Europe, Middle East and North America.
Wide coverage of topics by experts specialised in each risk type (e.g., operational risk, market risk, IRRBB, concentration risk, etc.)
Model development, validation and testing across all relevant risk types using state of the art methodologies tailored to each institution’s needs.
Fully integrated approach integrating the framework design and implementation.

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Our subject matter experts

François-Xavier Duqué

Principal Consultant - Expert in FRTB / IRRBB / ALM / Market Risk in Solvency II and ORSA

François-Xavier is a Principal Consultant with advanced expertise in Financial Markets, ALM and Risk Management, covering both banks and insurance companies. On the banking side, François-Xavier is a practice leader on Valuation, IRRBB, FRTB, VaR, Initial Margin and Counterparty Risk, well acquainted with the regulatory requirements and the market practices surrounding market risks. On the insurance side, François-Xavier has extended experience in the regulatory treatment of financial instruments, ORSA, and hedging balance sheets against interest rate, credit spread and inflation risks.

Péter Endre Kovács

Director - Credit and Operational Risk

Peter Kovacs works as Director based in Budapest with 18 years’ experience in risk management and modeling related to retail credit risk and operational risk. He led and participated in developing, validating and implementing advanced (IRB, AMA) models, component models (PD, LGD, EAD/CCF) at several European banks and banking groups, supporting SREP preparation, ECAP and stress test validation, model governance framework development.

Alexandre Synadino

Managing Consultant - Expert Climate Risk

Alexandre Synadino is a managing consultant with expertise in risk data analytics, climate risk management and regulatory reporting. He is an active member of the Finalyse Climate Risk Centre. His main area of expertise lies in the research, design and development of physical risk assessments using different tools and methods. Alexandre is involved in the conceptualisation of measurement approaches to cover multiple hazard types, geographies and scenarios to respond to regulatory demands for granular and forward-looking analyses.