Basel III, ICAAP & Stress Testing: Defending the Solvency Ratio

The programme

Across banking markets, minimum-capital and capital-adequacy expectations are rising at the very moment the assets banks hold most heavily — sovereign and concentrated exposures above all — attract higher risk weights and deteriorating credit quality. The solvency ratio is pressured from both directions, usually with a hard supervisory deadline attached. This masterclass puts a bank’s leadership and technical teams in the same room to work the answer as one: computing and interpreting RWA under credit and sovereign weightings, and tracing the direct line from a weighting change to the ratio; turning a capital floor or recapitalisation requirement into a multi-year, phased capital plan; constructing an ICAAP under Pillar 2 that a board can own and a supervisor will accept; and running the credit, concentration and sovereign stress scenarios that make it credible — stress testing treated as the analytical engine of the ICAAP, which is the regulatory reality in most markets, rather than a standalone regime. The IFRS 9 bridge is worked explicitly: ECL staging and provisioning traced into regulatory capital, and the provisioning posture defended to auditors and supervisors. The format is deliberately dual-tier in a single room — each session opens at executive altitude and hands off, through an explicit tier bridge, to practitioner mechanics — so strategy and execution leave holding the same plan. Technical without being basic; strategic without being soft.