ICAAP and Risk appetite

Avantage Reply have a strong understanding of the end-to-end process and can project-manage or advise on a range of challenges, including:

Definition and design of ICAAP and Risk appetite frameworks (including cascading within entities and operational implementation);
Executive and board training on regulators and expectations;
Embed the ICAAP and risk appetite framework through banks’ strategic-decision making process;
Risk appetite metrics selection and threshold calibration;
Ensure the linkage between RAF/ICAAP and other key strategic processes (strategic, budget, ILAAP, Recovery and resolution plan);
Design and implementation of RAF and ICAAP governance framework (roles, responsibilities, segregation of duties, etc.);
Validation processes and three lines of defence organisational governance in the ICAAP;
Risk identification material assessment (risk inventory, materiality assessment framework, risk mitigation, linkage with RAF, ICAAP, and stress tests);
Capital management framework – capital adequacy, planning, monitoring and governance;
Design and implementation of quantitative models and stress tests;
Risk data aggregation and reporting.

Implementing the ICAAP & ILAAP in LSIs and SIs – Lessons Learned