ICAAP & Stress Testing Enhancement
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Case Study
ICAAP & Stress Testing Enhancement
A large D-SIB with a strong presence across retail, corporate, and investment banking
The business situation
- The bank had undergone a SAMA review, post which multiple observations were highlighted on the non-retail credit portfolio
- Uniqus led a rapid remediation program to address regulatory observations, embed advanced stress-testing models, and integrate collateral concentration analytics into capital planning. with a scalable, audit-ready ICAAP framework
- Ensure full compliance with SAMA’s ICAAP & Stress Testing requirements for non-retail credit risk portfolio
- Address regulatory and audit observations while upgrading the capital computation framework and governance
- Embed forward-looking stress-testing scenarios that capture correlations across credit, residual, and concentration risks
- Automate Pillar 2 capital computation in Excel to improve efficiency, accuracy, and audit trail, and methodology template for capturing collateral concentration risk aligned with SAMA requirements
- Build sustainable internal capability and standard operating procedures for ongoing compliance
Our team’s role
Framework Enhancement
Evaluation and enhancement of ICAAP and stress testing frameworks for non-retail portfolios
Regulatory Gap Analysis
Gap assessment against SAMA rules, Basel standards, and peer benchmarks
Methodology Redesign
Redesign of capital computation, RWA methodologies, and stress testing approaches
Scenario Modelling
Development of forward-looking, scenario-based stress testing models
The value our team added
- Delivered a regulatory-aligned, audit-ready ICAAP covering non-retail credit, residual, and concentration risks
- Improved capital computation accuracy and created a transparent audit trail for supervisory review
- Enhanced risk quantification and stress-testing capability, enabling proactive capital planning
- Established dashboards and operational governance for ongoing monitoring of all the risk types in the non-retail credit portfolio
Achieve Audit-Ready ICAAP Compliance
From regulatory remediation to advanced stress testing frameworks
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