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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Challenge ICAAP

Miniworkshop: Practitioner's Day

Time: Mon, September 08, 2008, 16:00-16:45

Speaker: Andreas Weingessel

Abstract

The ICAAP (Internal Capital Adequacy Assessment Process) requires each bank to assess its capital adequacy in relation to its risk profile. It should form an integral part of the management process and decision-making culture of the institution.
In our talk we give a critical view on the stochastic models currently used and discuss future challenges.

Presentation slides (pdf, 1.2 MB)

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