ICAAP/ILAAP Assignment

Client Needs & Objectives

This assignment is representative of our competences developed around the second Pilar of the Basel reform and the allocated economic capital and risk issues (SREP, ICAAP …) on which we are used to intervene.

  • Context: A 5-month project with the ALM team / Group Treasury

Our Approach

The project was complete (quantitative and qualitative) and required a full understanding of the bank’s ALM activities (360°vision).

  • Rate model review (included livret A) and impact on the bank’s balance profile (Nielson Sigel model).
  • Deformation of the related assets and liabilities according to the reviewed behavioural models
  • Analysis of the provision models on the regulatory banking books

Main Deliverables

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