What You’ll Learn
- Understand how banking regulation, supervision, and ICAAP/SREP shape capital management
- Integrate capital planning into budgeting, strategy, and risk appetite frameworks
- Apply cost of capital and risk-adjusted performance metrics across business lines
- Optimise capital allocation, portfolio efficiency, and RWA consumption
- Embed capital considerations into pricing, customer profitability, and business decisions
- Design and interpret stress testing to support capital buffers and ICAAP
- Navigate governance structures, including boards, committees, and control functions
- Assess the impact of Basel IV and evolving regulatory requirements on strategy
- Understand securitisation, asset optimisation, and capital efficiency tools
- Leverage AI and data-driven approaches in customer and portfolio management
- Align regulatory requirements with profitability and strategic decision-making
Bank Capital Management: Strategy, Planning and ICAAP best-practice
Course Schedule and Contents and Case Study
Week 1
| Introduction and Banking Regulatory Framework
Introduction
Capital Management in an end to end perspective
- Capital planning
- Capital business actions: embedding capital management in business decisions
Regulatory requirements:
- Internal Capital Adequacy Assessment Process (ICAAP)
- Supervisory Review and Evaluation Process (SREP)
Interlinking of Capital Management to other processes
Banking Regulatory Framework
- Goal of regulation and difference vs supervision
- Role of capital and definition
- Subordinates
- Regulatory Risk Measurement – Credit: Standard vs Internal rating, by assessing
- Probability of Default
- Loss Given default
- Exposure at Default
- Regulatory Risk Measurement – Market Regulatory Risk Measurement – Operational
- Regulatory ratios: capital, leverage and liquidity
- Stress Test
- Definition and Structure
- Comparison across countries
- Reverse stress test
Additional subordinates requirements (Total Loss Absorbency Capital, Minimum Regulatory Eligible Liabilities)
Practical Examples
- calculating RWA of customers: Internal Rating vs. standard approach
- Worked example and illustration
Case Study: Impact of IFRS16 and IFRS9 |
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Week 2
Starts with Q&A session from week 1
| Week 2
Starts with Q&A session from week 1
Banking Supervision & Capital Management Framework
SREP
- SREP targets
- General Framework
- Outcome
- Minimum Capital Requirements
- Other remedial actions
- On – site inspections
- Impacts on the bank management
Case Study: how to successfully manage SREP
Capital Management – Part 1: Planning
- Framework Goal, boundary conditions
- Budget Process
- Phases
- Capital and funding plan
- Economic and banking scenario
- Setting capital buffers based on
- Stress testing
- benchmarking
- rating target: shareholders’ vs bondholders’ view
- profitability trade off
- Risk Adjusted Profitability KPIs
- Cost of Capital
Practical Examples:
- How to calculate cost of capital
- How to calculate risk adjusted profitability
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Week 3
Starts with Q&A session from week 2
Capital Management– Part 2: business capital management
- Business capital management: overall framework
- Business Actions
- stock management: how to manage customer profitability
- Loan Pricing : a framework based on risk-adjusted return
- Asset disposal, e.g. real Estate, NPL
- Links and impacts with other processes
- Liquidity management
- Market communication
Focus on securitisation
- Goals and Drivers of securitisation
- Securitisation Overview and Key Parties
- Structuring
- Cost vs Benefit analysis
- True Sale vs Synthetic securitisations
- Evolution of securitisation markets in
Case Study: How to use AI for customer management
Week 4
Starts with Q&A session from week 3
| ICAAP & Basel IV innovation & Banks’ evolution
Internal Capital Adequacy Assessment Process (ICAAP)
- Goal of ICAAP
- General Framework
- Interaction with Capital Management
- Core of ICAAP: risk appetite framework
- Conclusions from stress test outputs: input to the capital buffers and demonstration of regulatory compliance
- Principles of Governance
- Corporate bodies and committees: Board vs Managerial ones
- Roles of bank functions
- Monitoring & reporting
Basel IV: regulatory framework and bank reaction
- Main innovations
- Impacts on Bank management
- How banks could adapt strategies to the new regulatory framework
Case Study: Basel IV How banks are adapting their business model and practices
Broadening the perspective: evolution of the banking competitive landscape
- New regulation
- New actors entering the market: fintech and Private Credit
- Banks’ competitive advantages
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