Working with various banks across the world has helped us develop a proprietary consulting framework for Pillar II, Stress Testing that incorporates statistical risk quantification models and qualitative modules that helps the banks in embedding the Pillar II risk assessment, capital budgeting and stress testing.

Our framework adopts a modular approach for ICAAP development mapped into 5 key modules.

We combine deep industry knowledge with specialized expertise in risk management, capital management, risk modeling and risk framework development:

  • Assess the adequacy and quality of the ICAAP processes
  • Conduct a detailed assessment of the Risk Governance Framework
  • Analyze the risk profile using a wide range of qualitative and quantitative risk measures across various risk categories
  • Compute the required level of Pillar II capital by aggregating material risks, adjusted to reflect the benefits of diversification.
  • Prepare the ICAAP documentation as per local regulatory guidelines
  • Establish/Review Corporate Governance principles and assist in deploying these principles
  • Develop a customized Stress Testing Framework and conduct Scenario Analyses
  • Structure risk profile simulations based on identified risk factors, for significant business units as well as for the bank as a whole for capital budgeting requirements