JKR16

Implementing a Robust ICAAP Framework 

September 20 – 21, 2018 • Toronto

This two-day course will give you a practical hands-on tool to implement a robust ICAAP framework by providing a detailed view of the industry’s best practice and supervisor’s expectations. It simulates step-by-step how a bank produces an ICAAP, highlighting the differences between smaller and bigger banks.

The course benefits from Juan Ramirez’s direct exposure to a large number of ICAAP’s, supervisory reviews, leading practices and initiatives to optimise ICAAP methodologies.

CPE Hours: Course – 12 hours

This two-day course will give you a practical hands-on tool to implement a robust ICAAP framework by providing a detailed view of the iindustry's best practice and supervisor's expectations. It simulates step-by-step how a bank produces an ICAAP, highlighting the differences between smaller and bigger banks.

The course benefits from Juan Ramirez's direct exposure to a large number of ICAAP's, supervisory reviews, leading practices and initiatives to optimise ICAAP methodologies.

Registration Fees

Registration
Options
Before
July 30,
2018
Before
August 13, 
2018
After
August 13, 2018
ICAAP $2,199.00 + HST $2,299.00 +HST $2,399.00 +
HST
Both Course & Seminar $3,299.00 + HST $3,399.00 + HST $3,499.00 +
HST
IFRS 9 for Banks      $1, 099.00 + HST $1,149.00 + HST $1,199.00 + HST

Our HST Number: R862562543

Group Discount: Fourth Delegate FREE!

If three individuals from one organization register at the same time, a fourth person may also be registered to attend free of charge. The free registration must be of equal or lesser value than the paid registrations. Please contact us to arrange for attendance of larger groups.

Your Registration Includes

Registration fees include all conference materials, continental breakfast, lunch and refreshments. Parking and accommodation are not included.

FREE CONFERENCE WORKBOOK

As a registered delegate, you will receive a complete set of conference materials. These materials will serve as an invaluable guide, both during and after the event. The workbook will be distributed on the morning of the first day beginning at 8:00 a.m.

Supplementary Text Included in Course Fees

All participants receive a copy of  “Accounting for Derivatives – Advanced Hedging Under IFRS 9” Second Edition by Juan Ramirez.

Cancellation Policy

Substitutions may be made at any time. If you are unable to attend, please make cancellations in writing and fax to (416) 504-6978 prior to 5:00 p.m. on September 4, 2018. A credit voucher will be issued to you for the full amount, redeemable against any other Acumen conference. If you prefer, you may request for a refund of fees paid less $250 administration fee. Registrants who cancel after above date will not be eligible to receive any credits or refunds and are liable for the entire registration fees.

Confirmed delegates who do not cancel before September 4, 2018, and fail to attend will be liable for the entire registration fees.

Acumen Information Services reserves the right to change the date, location and content for the event(s) offered herein without further notice and assumes no liability for such changes.

Early Bird Registration Discount

Register prior to to August 13, 2018, and you will obtain the following additional savings:

Second delegate: $100  Discount
Third delegate: $150 Discount
Fourth delegate: FREE

Please indicate that you are eligible for this offer on the registration page or your registration form if you are mailing in your registration.

Location – Accommodation

The venue for this event is:

The Courtyard by Marriott
475 Yonge Street
Toronto, Ontario
M4Y 1X7

Toll free - 1-800-847-5075
416 - 924-0611

Delegates can register at the Acumen service desk beginning at 8:00 a.m. on the morning of the first day of the course. Registration fees do not include hotel accommodation or parking.

Program -  Day 1

Introduction 

  • ICAAP framework and its link to SREP
  • ICAAP - Key objectives
  • Pillar 1 vs. Pillar 2

ICAAP Supervisory Expectations

  • Historical regulatory timeline
  • Guidance on ICAAP and ILAAP
  • Principles on ICAAP

ICAAP Report Structure 

  • Main sections of an ICAAP report
  • General information common to ILAAP
  • ICAAP specific information

Business Model and Strategy

  • Current business model
  • Core business lines, markets, geographies, subsidiaries and products
  • Main income and cost drivers, allocated to core business lines, markets and subsidiaries
  • Forward-looking business strategy
  • Planned changes to the current business model and its underlying activities
  • Projections for key financial metrics
  • Link with ICAAP

Case Study: Bank ABC Business Model and Strategy

Risk Governance and Management Framework 

  • Overall framework
    • Roles and responsibilities for risk taking, risk management and risk control
    • Key components of ICAAP on risk
  • Principles of risk management
  • Three lines of defence
  • Governance, roles and responsibilities: Reporting lines and frequency of regular risk management and control reporting to the management body
  • Interaction between risk measurement and monitoring and actual risk taking preactice (limit setting, monitoring, dealing with breaches, etc.)
  • Risk management architecture

Case Study: Bank ABC Risk Governance and Management Framework

Risk Data, Aggregation and IT Systems

  • Framework and process used to gather, store and aggregate risk data across various levels of the bank, including flow of data from subsidiaries to the group
  • Data flow and data structure of risk data used for ICAAP
  • Data checks applied for risk data used for ICAAP
  • IT systems used to gather, store, aggregate and disseminate risk data used for ICAAP

Risk Appetite Framework 

  • Risk appetite framework
  • Correspondence with the strategy and business model
  • Process and governance arrangements on the design and implementation of the risk appetite framework
  • Identification of the current or potential material risks
  • Risk limits, management action triggers and risk tolerances
  • Limit allocation framework within the group and across core business lines, markets and subsidiaries
  • Integration and use of the risk appetite framework in the risk and overall management (eg. links to business strategy, risk strategy, ICAAP and ILAAP, including capital and liquidity planning

Case Study: Bank ABC Risk Appetite Framework

This two day course runs from 9:00 a.m. – 4:30 p.m. each day including lunch as well as morning and afternoon breaks.

Note: The accounting considerations set out in this seminar are based on the instructor's  interpretation of IFRS. Institutions that the instructor is affiliated to can therefore by no means be associated with his

Program - Day 2

Internal Capital Requirements - Risk Not Fully Captured/Not Covered in Pillar 1 

  • Material risks not fully captured by Pillar 1
    • Sovereign risk
    • Additional operational risk
    • Other potential risks
  • Material risks not covered by Pillar 1
    • Interest rate risk in the banking book
    • Concentration risk
    • Pension obligation risk
  • Other potential risks
  • Other risks: no capital required

Case Study: Calculating Concentration risk Using the Herfindahl Hirschmann Index

Case Study: Calculating Additional Operational risk Using Confidence Intervals

Internal Capital Requirements Stress Testing and Reverse Stress Testing

  • Stress testing program (eg. types of stress tests undertaken, their frequency, methodological deetails and models used, the range of assumptions and relevant data infrastructure)
  • Governance arrangements of the ICAAP stress testing program
  • Interaction (integration) between solvency and liquidity stress tests, and in particular of ICAAP-specific stress testing, and the role of reverse stress tests
  • Uses of stress testing and its integration into the risk management and control framework
  • Role of the reverse stress testing (RST)
  • RST scenario selection
  • Quantitative impact

Case Study: Bank ABC Stress Testing Framework

Case Study: Peculiarities of Mortgage Portfolio Stress Testing

Case Study: Bank ABC Reverse Stress Testing

Capital Planning 

  • Capital planning framework
  • Main assumptions underlyig the capital planning
  • Forward-looking view on the development of risks and capital in terms of both internal capital and regulatory own funds
  • Conclusions from capital planning such as planned issuances of varous capital instruments, other capital measures (e.g. dividend policy) and planned changes to the balance sheet (e.g.) sales of portfolios etc. )

Case Study: Bank ABC Capital Planning Buffer

Case Study: Calculation of the Capital Planning Buffer

This two day course runs from 9:00 a.m. – 4:30 p.m. each day including lunch as well as morning and afternoon breaks.

Note: The accounting considerations set out in this course are based on the instructor's  interpretation of
IFRS. Institutions that the instructor is affiliated to can therefore by no means be associated with his

Ramirez 3-43Course Leader
Juan Ramirez

Juan Ramirez is a senior professional at Deloitte in London, advising clients
on IFRS 9 and Basel III/IV issues. Juan is involved in all elemeents of capital ratios:
reporting, measurement, stress testing, planning and optimisation
On IFRS 9 Juan is one of the best known professionals in hedge accounting,
and the link between IFRS 9 impairment model and capital.

With an MBA from University of Chicago, Mr. Ramirez moved to London to
work at JPMorgan and later he joied the derivatives sales teams at Lehman Brothers,
Barclays Capital, Banco
Santander and BNP Paribas. He has devoted more than 20 years to derivatives
in front office positions, gaining a first-hand experience on market risk and
hedging solutions.

Mr. Ramirez is the author of  “Accounting for Derivatives”, “Handbook of Corporate Derivatives
and Equity Capital Markets” and the upcoming “Handbook of Basel III Capital” published by
Wiley.

Who Should Attend

This course has been specifically designed for, and in consultation with, experts in accounting for financial institutions as well as standard setters. The event has been developed with the professional responsibilities of our audience as our focus. As well, auditors, financial advisors, analysts, lawyers and other advisory professionals would benefit from staying current on the information provided at this timely event. In particular, our experience indicates that individuals in the following positions would mostly likely be in attendance:

  • Chief Financial Officers
  • Chief Risk Officers
  • Chief Compliance Officers
  • VPs, Directors and Managers
    • Finance
    • Accounting
    • Financial Reporting
    • Regulatory Compliance
  • Controllers
  • Internal Auditors
  • Audit Committee Members
  • Corporate Counsel
  • Risk Managers
  • Audit and Assurance Professionals
  • Industry Regulators and Standard Setters
  • Financial Analysts
  • Corporate and Securities Lawyers

To obtain a copy of the brochure, please send a request to the email below or click on the image of the brochure on this page.

e-mail at info@acumeninformation.com

Comments from Past Delegates to Acumen Conferences

"…provided a very good high level summary of the key impacts of IFRS to financial institutions.”

Associate Chief Accountant, Bank of Montreal

“Presentations were clear even though topics were complex.”

Chief Financial Officer, Société Générale

“Best conference I’ve ever attended.”

Senior Manager, Enterprise Hedge Accounting and Derivative Reporting, Royal Bank of Canada

“Suffice it to say that the conference delivered on my expectations…A lot has been taken away from this conference…$ well spent…”

V.P. Risk Management Advisory, New Brunswick Credit Union Stabilization Board

“Finally a course that communicates true technical knowledge”,

Director, Operations Finance NAV Canada

“This seminar was fantastic – very informative and has some extremely interesting and knowledgeable speakers.”

Manager, Corporate Accounting Brascan Power

“Great balance between theory and practical application/issues. Perfect level of detail…”

Treasury Manager CHC Helicopter Corporation
“Speakers were very knowledgeable, materials were current…examples and materials were relevant and well presented.”

Derivatives Accountant, Agrium Inc.

To submit questions to be answered at the conference, please send us an email at this address at  info@acumeninformation.com