ICLAAP = ICAAP + ILAAP and-Stress Testing (Capital & Liquidity) Certification Training

This comprehensive 16-hour ICLAAP (ICAAP & ILAAP) training has been designed to provide in-depth knowledge of modern capital and liquidity assessment processes, aligned with the latest regulatory frameworks and expectations as of now. The course emphasizes a practical, non-country-specific approach, incorporating the most recent changes in risk management, supervisory guidance and regulatory updates.

1. Introduction to ICAAP & ILAAP

• Purpose & objectives of ICAAP/ILAAP
• Relationship to Basel Framework
• Basel II → Basel III → Basel III Finalisation (2025)
• Pillar 1, Pillar 2, Pillar 3 interactions
• Risk appetite, governance & risk culture
• Expectations of global supervisors (EBA, ECB, PRA, MAS, APRA, HKMA)



2. Risk Identification & Taxonomy

• Comprehensive risk inventory
• Financial vs non-financial risks
• 2025 additions: Climate and environmental risk, Model risk, Concentration & strategic risk



3. Market Risk & FRTB

• Trading book vs banking book boundary
• Overview of FRTB SA and IMA
• Expected Shortfall & liquidity horizons
• Non-Modellable Risk Factors (NMRFs)
• Supervisory challenges and reporting expectations
• Stress testing for market risk



4. Credit Risk & IFRS 9

• Standardised vs IRB approaches
• PD, LGD, EAD modelling
• Credit risk mitigation
• IFRS 9 Expected Credit Loss (ECL): Forward-looking modelling, Scenarios & macroeconomic drivers, Integration with ICAAP
• CVA framework; DVA constraints



5. Operational Risk & Model Risk

• Operational Risk (2025 rules): SMA replacing AMA, Loss data, RCSA, KRI frameworks, Scenario analysis, Third-party risk, outsourcing risk (ESG, cloud, tech disruptions)
• Model Risk: Governance and policies, SR 11-7 principles & global equivalents, AI/ML model challenges, Validation techniques & model lifecycle



6. Stress Testing Essentials

• Regulatory expectations for stress testing
• Scenario selection (macro, idiosyncratic, reverse)
• Sensitivity vs scenario-based approaches
• Using stress-test outputs in ICAAP/ILAAP
• Linking stress tests to capital & liquidity plans



7. Liquidity Risk & ILAAP

• Liquidity vs solvency distinction
• Regulatory liquidity metrics: LCR, NSFR, Additional Monitoring Tools (AMTs)
• Intraday liquidity
• Liquidity buffers and survival horizons
• Funding concentration risk
• Stress testing for liquidity
• ILAAP documentation expectations



8. ALM & IRRBB

• IRRBB under BCBS 368 (2025)
• Interest rate modelling: Yield curves, bootstrapping
• Duration, convexity, PV01, sensitivities
• Behavioural modelling of NMDs
• Hedging techniques (swaps, macro hedges)
• Interaction between ALM and ICAAP



9. Fund Transfer Pricing (FTP) & Balance Sheet Management

• Modern FTP framework (ITP + LTP)
• Internal liquidity charges
• Contingent liquidity pricing
• FTP governance & oversight
• Using FTP to steer business behaviour
• Integration with ALM + ILAAP



10. Capital Planning & Economic vs Regulatory Capital

• CET1, AT1, Tier 2 recap
• Capital buffers (CCB, CCyB, systemic buffers)
• Economic capital vs regulatory capital
• Link to risk appetite & strategic planning
• Multi-year capital projection
• ICAAP capital adequacy assessment



11. ICAAP/ILAAP Documentation & Supervisory Interactions

• Components of ICAAP document: Governance, Capital adequacy, Risk assessment, Stress testing, Internal controls, Capital plan & strategy
• Components of ILAAP document
• SREP process and supervisory expectations
• Common shortcomings during reviews
• Best practices (ECB, PRA, EBA guidelines)



12. Case Study, Discussion & Assessment

• End-to-end ICAAP/ILAAP exercise
• Review sample capital and liquidity stress results
• Constructing a simplified ICAAP/ILAAP statement
• Assessment quiz & wrap-up

• Basic understanding of how banks and financial institutions operate
• Familiarity with general finance and accounting concepts
• Awareness of different types of risks in banking (credit, market, operational, liquidity)
• Interest in learning about regulatory requirements and capital planning
• Basic comfort with numbers and simple financial calculations
• No prior risk management experience required, though helpful

• Banking professionals new to risk management
• Finance or accounting staff wanting to understand capital and liquidity planning
• Regulatory reporting or compliance team members
• Risk analysts or junior risk officers
• Anyone interested in learning ICAAP and ILAAP concepts
• Professionals preparing for supervisory interactions or audits

• On successful completion of the course and assessment, you will receive a Course Completion Certificate from Merit Global.

Obtaining the ICAAP, ILAAP & Stress Testing certification provides professionals with a comprehensive understanding of how financial institutions assess and manage both capital and liquidity risks under regulatory regimes like Basel III/IV. The course teaches you the mechanics of the Internal Capital Adequacy Assessment Process (ICAAP) and Internal Liquidity Adequacy Assessment Process (ILAAP), how to conduct robust stress testing for solvency and liquidity, and how these processes tie into risk governance, risk appetite and strategic planning. These skills are essential for roles in enterprise risk management, capital planning, liquidity risk oversight and regulatory compliance, where you’re expected to contribute to or lead risk assessments, documentation and supervisory interactions that ensure the long-term resilience of a bank or financial institution.

From a career and compensation standpoint, professionals with expertise in ICAAP, ILAAP and stress testing are highly valued in the world’s financial centres, including the U.S., because regulators increasingly require rigorous capital and liquidity management frameworks. Roles that utilise this expertise - such as ICAAP/ILAAP Specialist, Risk Manager, Stress Testing Analyst or Enterprise Risk Consultant - often command strong compensation, with many mid-level risk managers in the U.S. earning $100,000 - $140,000+ annually and more senior or specialist roles exceeding this range, reflecting the premium on technical and regulatory know-how. Employers look for candidates who can not only run stress scenarios and assess capital adequacy but also prepare high-quality ICAAP/ILAAP documentation and engage with supervisors effectively - capabilities that this certification helps you validate. Moreover, as banks seek to navigate evolving regulatory expectations and macroeconomic uncertainty, individuals with formal training in these areas can accelerate their career progression and strengthen their negotiating power for leadership or specialised risk positions.

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.

By the end of the course, participants will be able to: