Explain how ICAAP and ILAAP relate to Pillar 2 requirements and the supervisory review and evaluation process.
Finance & Banking
Preparing ICAAP and ILAAP Documents for Supervisory Review
Learn to prepare ICAAP and ILAAP documents that identify material risks, build capital and liquidity stress tests, and withstand supervisory challenge.
🗓️Duration5 training days
📚Content4 modules · 8 sessions
🎓On completionAccredited attendance certificate
About the programme
Course Overview
Supervisors do not accept an ICAAP or ILAAP that simply restates Pillar 1 capital and liquidity ratios; they expect a bank to demonstrate it understands its own material risks well enough to hold capital and liquidity against them voluntarily. This course walks through producing both documents from governance and scoping through to supervisory submission. Participants learn how Pillar 2 add-ons and the supervisory review and evaluation process interact with the ICAAP and ILAAP, then work through identifying and scoring material risks, building a multi-year capital plan, and designing stress scenarios that are severe but plausible for the specific institution rather than generic. A dedicated liquidity module covers identifying funding concentration and contingent liquidity risk, calculating survival horizons under stress, and linking results to the contingency funding plan and recovery plan triggers. The final module focuses on the practical realities of production: drafting a narrative that connects risk identification to a defensible adequacy conclusion, running a board challenge session, and preparing for supervisory questions using prior years' feedback so each cycle strengthens rather than repeats the last submission.
Expected Learning Outcomes
Establish governance and a production timetable proportionate to the bank's size and complexity.
Identify and assess material risks that justify capital add-ons beyond Pillar 1 minimum requirements.
Build a multi-year capital plan and design severe but plausible stress and reverse stress tests.
Identify material liquidity risks and calculate survival horizons under defined stress scenarios.
Draft an ICAAP and ILAAP document suite that connects risk identification to adequacy conclusions.
Prepare for supervisory challenge and embed findings into the following assessment cycle.
Who Should Attend
Risk management and capital planning staff responsible for producing the ICAAP and ILAAP.
Treasury and ALM professionals contributing liquidity risk analysis to the ILAAP.
Bank finance staff involved in multi-year capital and funding planning.
Board and risk committee members who must challenge and approve the assessment documents.
Compliance and regulatory affairs staff coordinating supervisory submissions.
Internal audit staff reviewing the ICAAP and ILAAP production process for adequacy.
Course Modules
Select any module to see its sessions and points.
01Purpose and Scope of ICAAP and ILAAP
2 sessions · 8 points
Session 1Regulatory Expectations Under Pillar 2 and the SREP
- Explain the relationship between Pillar 1 minimum requirements, Pillar 2 add-ons and the ICAAP and ILAAP.
- Map how supervisory review and evaluation process findings feed back into capital and liquidity requirements.
- Identify the core documents supervisors expect within an ICAAP and ILAAP submission package.
- Assess how the assessment cycle should align with the bank's strategic and capital planning calendar.
Session 2Governance, Proportionality and the Annual Assessment Cycle
- Define governance roles for ICAAP and ILAAP production, including board, risk committee and second line input.
- Apply the principle of proportionality to scale the assessment to the bank's size and complexity.
- Build a production timetable that allows for iterative drafting, challenge and board review before submission.
- Establish a process for updating the ICAAP and ILAAP outside the annual cycle when material changes occur.
02Risk Identification and Capital Adequacy Assessment
2 sessions · 8 points
Session 1Identifying and Assessing Material Risks for the ICAAP
- Conduct a risk identification exercise covering credit, market, operational and concentration risk categories.
- Assess the materiality of each identified risk using a consistent scoring methodology.
- Determine which material risks require additional capital beyond Pillar 1 minimum requirements.
- Document the rationale linking each Pillar 2 capital add-on to specific identified risks.
Session 2Capital Planning, Stress Testing and Reverse Stress Testing
- Build a multi-year capital plan that incorporates business growth, dividend policy and buffer requirements.
- Design stress scenarios that are severe but plausible given the bank's specific risk profile.
- Calculate the capital impact of stress scenarios and assess resulting buffer adequacy.
- Design a reverse stress test that identifies the scenario severity at which the business model fails.
03Liquidity Adequacy Assessment
2 sessions · 8 points
Session 1Identifying Material Liquidity Risks for the ILAAP
- Identify material sources of liquidity risk, including funding concentration and intraday liquidity needs.
- Assess contingent liquidity risk arising from undrawn commitments and off-balance-sheet exposures.
- Map the interaction between liquidity risk and the bank's funding and business strategy.
- Document the liquidity risk appetite and its link to the overall risk appetite statement.
Session 2Liquidity Stress Testing and Setting the Survival Horizon
- Design liquidity stress scenarios covering idiosyncratic, market-wide and combined stress events.
- Calculate the survival horizon under each stress scenario using projected cash inflows and outflows.
- Assess the adequacy of the liquidity buffer and contingency funding plan against stress results.
- Link ILAAP stress testing results to the bank's recovery plan triggers and options.
04Drafting, Challenge and Supervisory Submission
2 sessions · 8 points
Session 1Drafting the Document Suite and Securing Board Sign-Off
- Draft the ICAAP and ILAAP narrative so risk identification, assessment and adequacy conclusions connect logically.
- Prepare an executive summary that gives the board a clear adequacy statement and supporting rationale.
- Facilitate a board challenge session and incorporate resulting amendments into the final document.
- Secure formal board approval and sign-off before submission to the supervisor.
Session 2Responding to Supervisory Challenge and Embedding Findings
- Prepare responses to likely supervisory questions based on prior years' feedback on the submission.
- Present the ICAAP and ILAAP methodology and conclusions to supervisors clearly and defensibly.
- Track supervisory findings and embed required actions into the following year's assessment cycle.
- Update risk appetite and capital or liquidity planning based on supervisory feedback received.
What the participant receives
4 course modules
A structured syllabus
8 training sessions
across 5 days
32 detailed points
Applied, detailed content
Accredited attendance certificate
On completing the programme
Complete your registration
We will contact you within one business day to confirm.
Ready to start?
Reserve your seat and start building the skill.