18-04-2024 - Julian Nikolla, Cyril Cayez and Alessio Monetti

Credit Risk : How to address the economic capital requirement?

The economic capital requirement, a complex measure of the global exposure that the banks should be able to support based on their own funds, is one of the major points the JST and Commission de Surveillance du Secteur Financier (CSSF) are highlighting during the SREP process.

How to determine this capital amount, what are the main risk drivers, what are the possible methodologies?

This article provides a bases of what is broadly known by the actors of the financial system, including institutions and regulators, as the ICAAP process.

>>> Lire l'article AGEFI Mai 2023