- Pilar 2 and risk classification
- ICAAP and economic capital
- Models of economic capital for credit risk
- Models of economic capital for other risks
- Stress testing
- Utilization of ICAAP and ILAAP outputs for bank management
The seminar ICAAP, ILAAP, Pilar 2 and Stress Testing is organized as an open seminar for employees from different institutions and also as an in-house seminar organized for employees of clients with tailor made requirements.
The aim of the theoretical part of the seminar is to acquaint participants with ICAAP issues, methods of risk identification, calculations of economic capital, its aggregation and allocation and the use of economic capital for bank management. The seminar also deals with methods of determining internal capital resources and their planning. A separate part of the seminar deals with stress testing. The area of ILAAP and related principles of liquidity risk management are discussed.
In the practical part of the seminar, we will discuss capital management and measuring the bank's performance from a procedural point of view - from defining responsibility to final reporting.
The seminar is intended primarily for specialists of banks and other credit institutions who are responsible for the implementation of Basel III in the area of ICAAP, calculation of economic capital, internal capital resources and strategic planning. It is also intended for internal auditors.
RNDr. Martina Orsáková, Ph. D.
Head of Risk costs, RWA and ICAAP department, Česká spořitelna, a. s.
Martina Orsáková is responsible for the development and implementation of the economic capital strategy. She has been working at Česká spořitelna since 2001, where she led the Operational Risk Management project. Currently, she leads the team responsible for the calculation of provisions, credit risk-weighted assets and ICAAP capital management. She is also a lecturer in risk management (e.g. Institute for International Research, Advanced Risk Management). She studied econometrics and mathematical statistics at the Faculty of Mathematics and Physics of Charles University.
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