Advanced ICAAP, Capital & Liquidity Stress Testing & Recovery Planning

The ICAAP establishes how much capital an institution needs and how far that position would deteriorate under stress; the recovery plan sets out what the institution would do once the deterioration passes the point where normal management is enough. The connection is the scenario set and the action inventory: recovery triggers should be calibrated against the stressed capital and liquidity trajectories the ICAAP and ILAAP produce, and every recovery option should be checked against the management actions already counted in the capital plan. Where the two are built separately, banks routinely discover that a trigger fires after the option it was supposed to protect has become unavailable.

Not without double counting the capacity it represents. Selling a portfolio cannot simultaneously release capital in the capital plan and provide contingency liquidity in the recovery plan, and a committed facility cannot be drawn twice. The discipline the programme applies is a single reconciled inventory in which each action is attributed to one use, with a realistic execution time and an honest assessment of whether it would still be available in the scenario that triggered it. Institutions that run this reconciliation for the first time usually find their stated capacity falls, which is the point of doing it before a supervisor or an actual stress does it for them.

An ICAAP-only programme ends at the capital conclusion, and a recovery-planning programme usually begins after the stress is assumed. This masterclass is built around the join between them: one scenario set feeding both the capital and liquidity views, the trajectory carried through to the trigger that fires, and the action inventory reconciled across both documents. Institutions whose ICAAP, ILAAP and recovery plan are each individually sound but were written by different teams on different calendars are the intended audience — the failures this programme targets are consistency failures rather than technical ones.

Yes, and in-house is often the right route for this programme, because the reconciliation work is most useful when the ICAAP, the liquidity assessment and the recovery plan on the table are your own. Delivery is tailored to your balance sheet, framework maturity and supervisory relationship, in English or French. Open sessions follow a rolling calendar with dates confirmed on request; fees and quotations are provided on enquiry.