ICAAP, Stress Testing & Economic Capital Certification Training

This is a comprehensive professional training designed to build deep expertise in the Internal Capital Adequacy Assessment Process (ICAAP), stress testing methodologies, and economic capital measurement within financial institutions. In today’s challenging banking environment, risk professionals must demonstrate robust capital planning and stress‑testing frameworks that meet evolving regulatory expectations and support strategic decision‑making.

This course integrates theory, best practices, and real‑world applications to help participants understand how ICAAP fits within enterprise risk management, how stress testing informs capital resilience, and how economic capital can be quantified and utilized to optimize performance and governance. Through structured modules, case studies and practical exercises, learners will gain the insights and tools needed to implement ICAAP, create stress‑testing scenarios, and align capital planning with risk appetite, supervisory expectations and strategic outcomes.

Module 1 - ICAAP Foundations & 2025 Regulatory Environment

• Purpose and core components of ICAAP
• Pillar 2 framework and the SREP context
• Interaction with business strategy, risk appetite and governance
• Internal capital adequacy vs regulatory capital adequacy
• Supervisory expectations for ICAAP in 2025
• Role of management, Board and risk committees in ICAAP
• Benefits of ICAAP beyond compliance:
• Capital optimisation
• Pricing discipline
• Strategic planning
• Enhanced risk culture



Module 2 - ICAAP and Integration with Enterprise Risk & Capital Management

• Integration of ICAAP with the risk appetite framework (RAF)
• Linkage with budgeting and capital planning
• Interaction with economic capital frameworks
• High-level overlap with liquidity risk and ILAAP
• Capital forecasting and business model sustainability
• Linking ICAAP to performance measurement (RAROC, EVA)
• Strategic capital management and optimisation levers



Module 3 - Basel III/IV Regulatory Capital & Internal Capital Concepts

• Regulatory capital structure: CET1, AT1, Tier 2
• Capital buffers: CCB, CCyB, SRB, systemic buffers
• Basel III/IV guidelines on capital allocation
• Differences between regulatory capital and economic capital
• High-level Basel II legacy concepts and key changes
• The role of ICAAP within the Basel framework



Module 4 - Economic Capital: Concepts, Measurement & Strategic Use

• Definition and purpose of economic capital
• Economic capital vs expected loss vs regulatory capital
• Portfolio theory foundations
• Capital allocation methodologies
• Strategic use of economic capital in pricing
• Performance measurement using RAROC
• Portfolio steering and concentration management
• Model governance and model risk considerations



Module 5 - Economic Capital Modelling Across Risk Types

• Credit risk economic capital concepts
• Portfolio models: CreditRisk+, CreditPortfolioView, CreditMetrics, KMV/EDF
• Correlation modelling and systematic risk factors
• Market risk economic capital: VaR, stress VaR, expected shortfall
• Non-linear instruments and tail risk considerations
• Operational risk economic capital: LDA, scenario analysis, hybrid approaches
• Diversification and aggregation across risk types
• Concentration add-ons and capital overlays
• Allocation of economic capital to business units



Module 6 - Stress Testing Fundamentals: Quantitative & Qualitative

• Purpose of stress testing for solvency, liquidity and capital planning
• Qualitative components: governance, documentation and use test
• Quantitative stress-testing techniques:
• Sensitivity analysis
• Scenario testing
• Reverse stress testing
• Step-by-step stress test design and execution
• Data requirements, modelling challenges and calibration
• Understanding tail events and non-linear impacts



Module 7 - Advanced Stress Testing & Integration with ICAAP

• Firm-wide stress-testing governance
• Designing internal macro-financial scenarios
• Translating macro scenarios into risk parameters
• Stress testing of credit portfolios
• Stress testing of market risk exposures
• Stress testing of operational risk events
• Linking stress results to capital adequacy and buffers
• Integration of stress testing into risk appetite and capital planning
• Embedding stress results in ICAAP submissions
• Regulatory expectations for stress-testing documentation (ECB, PRA, FED, SR guidance)



Module 8 - ICAAP Documentation, Internal Review & Supervisory Expectations

• Structure and components of a strong ICAAP document
• Best-practice documentation standards
• Evidence, traceability and use test requirements
• Role of internal audit and independent review
• Common regulatory findings and remediation themes (2023–2025)
• Aligning ICAAP with business strategy and risk governance
• Preparing for SREP reviews and onsite inspections



Module 9 - Case Studies, Group Exercises & Final Assessment

• Building a simplified ICAAP capital overview
• Hands-on credit economic capital calculation
• Designing a stress scenario and mapping impacts across risk types
• Review of ICAAP weaknesses and good-practice examples
• Final assessment combining knowledge testing and practical application

• Basic understanding of banking, finance, or risk management concepts
• General familiarity with balance sheets, capital, and regulatory terminology
• Exposure to risk management, finance, audit, or compliance roles (helpful but not required)
• No prior hands-on ICAAP or capital modelling experience required

• Risk management professionals (credit, market, operational, enterprise risk)
• Capital management, ICAAP, and regulatory reporting teams
• Finance, treasury, and balance sheet management professionals
• Internal audit and compliance professionals involved in Pillar 2 reviews
• Senior managers and executives involved in capital planning and governance
• Supervisors, regulators, and consultants seeking practical ICAAP insight

• 20 multiple-choice questions covering all course modules
• Passing requirement: at least 15 correct answers
• Two attempts allowed to achieve a passing score
• Certificate issued upon successful completion of the exam

Earning the ICAAP, Stress Testing & Economic Capital Masterclass certification is particularly valuable for professionals aiming to deepen their expertise in risk‑based capital planning, regulatory compliance and stress testing within financial institutions. The Internal Capital Adequacy Assessment Process (ICAAP) is a cornerstone of modern banking regulation under frameworks like Basel III/IV, requiring firms to demonstrate robust capital adequacy assessments aligned with risk appetite and supervisory expectations. This course teaches you how to design, execute and interpret stress tests, quantify economic capital across key risk types (credit, market, operational) and integrate these insights into enterprise risk management and strategic capital planning - skills that risk teams, model validators, capital planners and finance leaders use daily to support decision‑making and safeguard institutional resilience.

From a career and compensation perspective in the U.S., mastering ICAAP, stress testing and economic capital frameworks can significantly enhance your professional credibility and earning potential. Risk management - especially in banking, finance and enterprise risk functions — is a high‑demand area; roles requiring capital adequacy and stress‑testing knowledge often sit within risk management teams that earn strong salaries, with many risk professionals in the U.S. earning around $110,000–$130,000+ per year on average, and senior or specialized roles paying substantially more. In more advanced positions — such as Stress Testing Manager, ICAAP Specialist, Quantitative Risk Manager or Vice President of Capital Analysis - salaries commonly fall in the $130,000–$180,000+ range, reflecting the premium placed on expertise that ensures regulatory compliance, robust capital planning and financial stability. This certification therefore not only validates your technical knowledge but strengthens your competitive edge for higher‑impact roles, better compensation and accelerated career growth in the evolving risk management landscape.

A FRM and PRM certified Financial Risk Management Consultant with international expertise in risk management methodological frameworks. He brings over 25 years of experience advising financial institutions and organisations on effective risk management practices. Qualified in Islamic Finance (IFQ), he is a published author on risk management and Basel Accords and a regular speaker at industry conferences. In addition, he delivers training courses and workshops for professionals across the globe, helping participants strengthen their risk management knowledge and skills.

Learning Outcomes:

• Explain the purpose, components, and regulatory context of the Internal Capital Adequacy Assessment Process (ICAAP) and its role in enterprise risk management.
• Articulate supervisory expectations for ICAAP under Basel III/IV frameworks and Pillar 2 / SREP reviews.
• Integrate ICAAP with risk governance, risk appetite frameworks and capital planning processes.
• Distinguish between regulatory capital, internal capital, and economic capital concepts and their strategic implications.
• Measure and allocate economic capital across key risk types (credit, market, operational) using recognised methodologies.
• Design, execute, and interpret stress‑testing exercises — including sensitivity, scenario and reverse stress testing — and link results to capital adequacy and buffers.
• Develop and document a strong ICAAP submission that meets best‑practice and supervisory scrutiny, including evidence, traceability and use‑test requirements.
• Apply practical techniques to calibrate stress scenarios and embed stress results into capital planning, risk appetite and decision‑making processes.