Risk Management under the Single Supervisory Mechanism (SREP, ICAAP, ILAAP…)
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Risk Management under the Single Supervisory Mechanism (SREP, ICAAP, ILAAP…)

courseType Technical Skills, Financial Sector

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Cofinancement de la formation: les nouvelles dispositions législatives 2018

Pour plus d'informations veuillez consulter notre article.

Ou directement : Lifelonglearning​​

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General course details


The risk management sector has been undergoing an unprecedented evolution as the result of the financial crisis that started in 2008. In particular, financial institutions and regulators alike have become more and more demanding as to what they expect from the risk management function in general and the risk manager in particular. The demands are becoming so important that it has become very hard to combine this role with another function within a bank or investment firm.
The above has been made even more visible and acute since the advent of the Eurozone’s Single Supervisory Mechanism (SSM), also known as ‘Banking Union’, where the regulatory and supervisory expectations are particularly high. The SSM may be more visible for so-called ‘significant banks’ but is also applicable to all Luxembourg-based banks regardless of size.
In this context, PwC’s Academy has thought that it would be useful to summarise in one place and in one course an overview of the different subjects and regulations applicable today and, especially, in 2016 and 2017. The key aspects are the likely revision to the expectations in terms in Internal Capital Adequacy Assessment Process (ICAAP) and the introduction of the Internal Liquidity Adequacy Assessment Process (ILAAP). 


At the end of the training, participants will be able to:
  • Describe the concepts underpinning banking union (SSM, SRM, BRRD, DGSD etc) and how these connect with the Supervisory Review & Evaluation Process (SREP);
  • Have a good understanding of the supervisors’ expectation in terms of structure and content of both ICAAP and ILAAP;
  • Identify the issues impacting the firm’s business and be in a position to take appropriate actions.


The training programme has been divided under 4 separate topics
Essentials of banking union
  • Brief overview of the various building blocks of banking union and how these impact banks.
Focus on the Supervisory Review & Evaluation Process (SREP)
  • The SREP is a highly formalised and regulated process that imposes how supervisors should assess banks in terms of business models, risk control framework, internal governance, capital, liquidity and funding.
  • This section will elaborate on what exactly is assessed and how banks can best prepare for the exercise
Internal Capital Adequacy Assessment Process (ICAAP)
  • Essentials of Pillar 2 as per CRD IV/CRR
  • Reminder of key features of Circular CSSF 07/301 on ICAAP
  • Deep dive on how such features are impacted by the SSM’s expectations and how these will lead to a likely revision of ICAAP expectations
Internal Liquidity Adequacy Assessment Process (ILAAP)
  • Brief reminder of the ILAAP’s ancestor: Circular CSSF 09/403
  • Focus on key ILAAP features: structure, contents, guidance based on SREP expectations
  • Lessons learned from The Netherlands where an ILAAP has been required of banks for a number of years.

Target audience :

  • Chief Financial Officers (CFOs)
  • Risk Managers
  • Personnel and executives working for the internal audit or compliance department
  • Personnel and executives working for the accounting & reporting department
  • Financial analysts
  • Credit analysts
  • Liquidity specialists 

Speakers :

This training is coordinated by Jean-Philippe Maes, Partner at PwC Luxembourg . He is working closely with our clients and will therefore be able to understand your concerns and questions.  

Jean-Philippe has over 8 years’ experience in Basel II / III areas. He has helped many banks, investment firms and management companies implement Basel II and III. He created the review of prudential reporting and related processes for his clients. What is more, he supported PwC’s external audit teams, which allowed him to review the ratios and reportings of more than 50 banks.
He also contributed to the design and review of ICAAP reports (Pillar 2 of Basel III) for more than 40 financial institutions in Luxembourg.
As a trainer, Jean-Philippe has an extensive teaching experience having trained more than 500 employees in the financial sector on the Basel III topic in the last 5 years. In particular Jean-Philippe also delivered this training to several European regulators, including the European Securities and Markets Authority (ESMA).

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Duration :

0.5 day

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