ICAAP e ILAAP - Le sfide di Basilea 3

Translated title of the contribution: [Autom. eng. transl.] ICAAP and ILAAP - Basel 3 challenges

Research output: Book/ReportBook

Abstract

[Autom. eng. transl.] In recent years, the banking and financial system has been subject to important and profound regulatory and regulatory changes aimed at strengthening supervision and risk management. In particular, the Basel Committee intervened with the intention of strengthening the banks' capacity in terms of absorbing the shocks deriving from economic and financial tensions. Acting mainly on Pillar 2, Basel 3 introduces at the individual bank level important and relevant innovations in the ICAAP, the process aimed at the current and prospective evaluation of its capital adequacy, and the ILAAP is introduced, the process aimed at evaluating and liquidity risk management. The present monograph intends to illustrate the processes of identification, measurement, management and monitoring of capital adequacy (ICAAP) and liquidity risk (ILAAP) by providing a vision of connection between them and with the governance functions of the supervised parties, the impacts operational and development lines. To this end, the risk appetite framework (RAF) process is also presented, which each bank is required to define in advance, identifying its risk propensity, tolerance thresholds and related limits, risk governance policies, reference processes necessary to define and implement them. Finally, the supervisory review and evaluation process (SREP) is recalled for completeness, a process through which the supervisory authorities maintain a constant and continuous monitoring of the risk assessment and measurement of each supervised entity.
Translated title of the contribution[Autom. eng. transl.] ICAAP and ILAAP - Basel 3 challenges
Original languageItalian
PublisherFrancoAngeli
Number of pages90
ISBN (Print)978-88-917-5969-6
Publication statusPublished - 2017

Keywords

  • ICAAP
  • ILAAP
  • Rischio di liquidità

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