ICAAP/ILAAP Models, ALM & Interest Rate Simulations Masterclass
ICAAP and ILAAP modelling with live interest-rate simulations — gap analysis, earnings at risk, behavioural modelling and balance-sheet optimisation with ALCO decisions tested in real time.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
The banking failures of 2023 followed a familiar script: risk taken without the modelling to see it. This advanced workshop was designed against exactly those conditions. It focuses on modelling with interest rate simulations, interest rate mismatch and liquidity risk for internal capital adequacy assessment — starting from a balance sheet model, moving through gap analysis, earnings at risk, stress testing, scenario planning and policy making, and on to the structured analysis required for ICAAP/ILAAP submissions, reporting and recommendations. Live simulations let senior ALCO, treasury and risk members watch the impact of their decisions in real time, with strategies reviewed as they play out. The cohort leaves able to optimise the balance sheet and sharpen ALM strategy against a changing regulatory environment.
What you will do
Who attends
- C-suite members — CFO, COO, CRO, CIA
- Heads of risk, capital management and treasury
- ALCO members and ALM professionals
- Basel programme, compliance and internal audit leads
- Finance professionals, financial controllers and bank supervisors
Programme agenda
Built for the decisions no textbook prepares you for
I.The ALM foundation
- The ALM regulatory environment
- Organising the ALM function efficiently
- Key risks faced in ALM
II.Tools and models
- The balance sheet model as starting point
- Gap analysis and earnings at risk
- IRR metrics, scenarios and behavioural modelling
III.ICAAP/ILAAP modelling
- Interest rate simulations for capital adequacy assessment
- The capital charge basis for interest rate mismatch risk
- Stress testing, scenario planning and policy making
- Structured analysis for submissions, reporting and recommendations
IV.Live simulation
- ALCO decision-making in real time
- Tracking capital adequacy, liquidity and P&L
- Strategy review: treasury paper versus commercial assets, extending gaps
Frequently asked
What makes this ALM workshop different from a standard course?
The live simulations. Senior ALCO, treasury and risk members watch the impact of their decisions in real time — tracking capital adequacy, liquidity and P&L as choices play out — with strategies reviewed as they unfold, such as weighing treasury paper against commercial assets or extending gaps in stable rate environments.
What modelling ground does the workshop cover?
Starting from a balance sheet model, the cohort works through gap analysis, earnings at risk, interest rate simulations, IRR metrics and behavioural modelling, then stress testing, scenario planning and policy making — up to the structured analysis required for ICAAP/ILAAP submissions, reporting and recommendations, including the capital charge basis for interest rate mismatch risk.
Who is the workshop aimed at, and what are the practical arrangements?
It is an advanced workshop for C-suite members, heads of risk, capital management and treasury, ALCO members and ALM professionals, Basel programme and audit leads, and bank supervisors. Delivery is in English and French on a rolling calendar, dates on request; fees and quotations are provided on enquiry, and an in-house edition tailored to your institution is available.
Who teaches this
Practitioners, not presenters.
Led by practitioners who hold, or have held, the seats this programme prepares you for: group treasurers and heads of asset–liability management, chief risk officers, heads of credit and capital management, and former central-bank supervisors who examined the very frameworks they now teach. Between cohorts the same people advise banks on those frameworks, so what you learn is what is being defended in front of boards and regulators today.
What the bench brings
- ALCO practice and treasury policy
- Funds transfer pricing design and restructuring
- IRRBB measurement: EVE and NII sensitivity
- Liquidity risk: LCR, NSFR and contingency funding
- Basel capital frameworks from Pillar 1 to Pillar 3
- ICAAP and ILAAP construction and supervisory review
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Professional services · Insurance · Central banking & supervision
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Live case studies from real institutions
- Modelling labs and balance-sheet simulations
- Regulator-style challenge sessions
- Group problem-solving on realistic institutional cases
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
Open the dossier →
The Capability Arc™
Fix it · Advisory
Liquidity & ILAAP
An ILAAP the treasury runs and the supervisor accepts.
Automate it · Smart IT
BIZENIUS Accord
The licensed platform — 20+ engines, Basel I to 3.1, on your own servers.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
Teams from these institutions train with BIZENIUS
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.