Quantica Risk Modelling
ICAAP and ORSA: capital documents people actually use
Most capital assessments are written for the regulator and read by nobody else.
By Jonas Mohamed Osman Abdelghafour, known as Yonas Osman (Yonas Osman) ·
An internal capital assessment has one job: to connect the risks a firm actually runs to the capital it actually holds, in a way management can act on. Too often it becomes a retrospective narrative around a number produced elsewhere.
The fix is structural. Risk identification drives quantification, quantification drives the stress suite, and the stress suite produces management actions with trigger points defined in advance.
Done this way, the document becomes a planning tool. Done the other way, it becomes an annual cost with no decision attached.
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman, is an actuary and FRM who has spent more than twenty years building and validating risk models across banking, insurance and marine markets.
Key takeaways
- Risk identification must drive the stress suite, not follow it.
- Management actions need pre-defined triggers.
- A capital document without a decision attached is overhead.
Author bio
Jonas Mohamed Osman Abdelghafour, known as Yonas Osman is an actuary, FRM and financial risk professional specialising in banking, insurance, model risk, capital modelling and quantitative risk management.