ICAAP - Embedding Basel III in your stress scenario analysis



Embedding Basel III in your stress scenario analysis

Deloitte Luxembourg has the experience on ICAAP to help you improve the quality and completeness of stress testing and ICAAP processes, ensuring compliance with related CSSF circulars (including 06/273 as amended, 07/301 as amended and 11/506).

Your challenge

Having to deal daily with business constraints and duties, you have difficulties keeping track of the ever evolving risk and capital management regulations (Basel III, ICAAP, CVA, stress testing, etc.) and you have an unclear view on its potential impacts on you organisation.

In particular, as part of your ICAAP report duties, you must forecast the evolution of your institution’ solvency situation over the business plan cycle, which will now include the new requirements of Basel III. These forecasts should be stressed to test the ability of your institution to face serious but plausible scenarios.

While some elements might be in place and a general understanding of stress testing, ICAAP and Basel III exists, the exact extent of interaction between these elements and their potential impacts on your operational processes and risk management practices are not well assessed.

Our solution

Our solution encompasses design, development and documentation of ICAAP report, risk and capital policies and stress testing framework, as well as the supporting tools, commensurate to your size, complexity and specific needs.

In particular, using a specific tool developed together with Deloitte experts from other European offices, we are able to embed Basel III in capital planning and stress testing processes.

Operational impacts on product offering, treasury activities and other operations can also be assessed using the tool. 


Jean-Philippe Peters, Ph.D., FRM

Jean-Philippe Peters, Ph.D., FRM

Partner | Risk Advisory Leader

Jean-Philippe is the Lead Partner of our Risk Advisory service line in Luxembourg. He has more than 20-year experience in regulatory, risk and capital management matters for financial institutions, wi... More

Arnaud Duchesne

Arnaud Duchesne

Managing Director | Advisory & Consulting

Arnaud joined Deloitte in February 2012 as Manager in the Business risk department, where he currently works on the risk management assignments in the financial industry related with consulting, audit... More