Context
ICAAP quantitative risk framework for CFG in Morocco, covering ICAAP, Basel frameworks.
Challenge
The institution required a defensible quantitative framework across credit, market and operational risk, supported by consistent data collection and internal rating logic.
- Several risk types and calculation approaches needed to connect coherently
- Data collection and methodology evidence needed to be reproducible
Data
Portfolio and risk information collected through an automated SQL-based process.
Approach
- 01 Designed a quantitative risk framework
- 02 Developed an internal PD rating system
- 03 Automated SQL-based data collection
- 04 Modelled credit risk capital with ASRF and CreditMetrics
- 05 Quantified operational risk with AMA and SMA
- 06 Covered market risk capital
Implementation
Automated SQL-based data collection supported the capital calculations and internal rating framework.
Governance
No numerical capital results or validation metrics are disclosed in the source portfolio.
No quantitative performance figure is published because the source portfolio does not provide one.
Outcome
Qualitative capability created
A documented capability for consistent quantitative capital assessment across material risk types.
Connected methods, data collection and repeatable calculations within the ICAAP framework.
Delivered capability
- Quantitative risk framework
- Internal PD rating system
- Automated data collection
- Credit risk capital model
- Market risk assessment
- Operational risk assessment
Lessons
The method, implementation and review evidence need to be designed as one controlled capability. Public detail stops where the source evidence or confidentiality boundary stops.