Scenario analysis and ICAAP reporting
View AgendaKey reasons to attend
- Learn how to use scenario analysis to assess operational risks
- Discover best practices for the implementation of the Internal Capital Adequacy Assessment Process (ICAAP)
- Measure climate risks using scenario analysis techniques
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About the course
With increased regulatory scrutiny on how institutions assess capital adequacy and justify stress scenarios, this course explores how to strengthen your ICAAP framework by analysing the purpose, design and implementation. Through case studies, peer discussions and practical exercises, participants will gain insights into structuring scenarios, engaging with regulators and interpreting ICAAP outcomes.
This course covers both the practical and strategic aspects of ICAAP, from assessing buffer impacts and determining which scenarios should be included in your report to examining the nuances of ICAAP reporting and addressing common pitfalls.
Discussion of best practices for documentation and outlining roles and responsibilities will equip participants with the tools to develop a more resilient and effective ICAAP framework.
Learning objectives
- Analyse the purpose and structure of an ICAAP report
- Align the ICAAP with regulatory expectations
- Explore scenario structuring techniques for physical and transition risks
- Define core components of a robust ICAAP report
- Mitigate behavioural biases in scenario analysis
- Design and structure risk scenarios
Who should attend
Relevant departments may include but are not limited to:
- Operational risk
- Enterprise risk
- Compliance
- Regulatory reporting
- Internal audit
- ICAAP specialists
- Capital planning
- Stress-testing
- Treasury
- Climate risk
Tutors
Julien Haye Risk Learning Faculty
Managing Director
Aevitium
With over 26 years of experience in the financial service industry, Julien is a commercially astute risk expert who understands the vital connection between people, culture and effective risk management. He has held diverse roles throughout his careers, from front-office trader to chief risk officer and transformation leader, giving him a unique perspective on the intersection of human behaviour and risk assessment.
His expertise lies in helping organisations to turn their risk, compliance, and assurance management functions into strategic business enablers while nurturing an inclusive and psychologically safe culture. He also has successfully led organisations through complex risk and compliance transformations, establishing effective risk management capabilities and governance, all while prioritising and fostering psychological safety. By delivering a stronger risk narrative for clients and strengthening their license to operate, he has shown that creating a people-centric risk management approach is not only beneficial but also a strategic competitive advantage.
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