A bank's ICAAP submission is a comprehensive document and a time- and resource-intensive process. There are many nuances to it, and of course the ultimate objective is to demonstrate that the bank is adequately capitalised under all plausible, yet severe, stress events. The topic occupies an entire chapter in "Anthology: Past, Present and Future Principles of Banking and Finance", while the book's companion website contains a slide deck on ICAAP Best-Practice Principles. Also on the website is the file given at the link below, which is an extract from a "review and challenge" of certain aspects of an hypothetical ICAAP, including the stress scenario setting process. It also suggests a specimen Table of Contents. I hope to follow this up with an extract from the best-practice slide deck in due course. 

by Professor Moorad Choudhry