RisKIT · Capital and ICAAP models
RisKIT’s capital models are pre-built Excel engines for the ICAAP. Each calculates Pillar 1 and Pillar 2 capital under your regulator’s framework, from Basel I to the PRA’s Basel 3.1 rules, and projects it over a base case and four stress scenarios.
They are for risk and finance teams at banks, building societies and lenders that want a capital planning model they own: bought once and run on your own data, with every formula open to your validators, auditors and the PRA.
The models
Each framework has an all-risks model, the ICAAP capital engine, with or without market risk, and most have a market-risk-only version beside it.
| Model | Framework | Versions |
|---|---|---|
| 100, 101 | Basel I (global) | Credit risk, 1988 (100); the 1996 market risk amendment (101). |
| 200, 201 | Basel II (global) | All risks without (200) or with (201) Basel 2.5 market risk. |
| 300 | Basel 2.5 (global) | Market risk only. |
| 500, 501, 502 | UK Basel 3.1 (PRA) | Without FRTB (500), with FRTB (501), FRTB only (502). |
| 600, 601, 602 | EU CRR III and CRD VI | The same three versions. |
| 700, 701, 702 | Basel IV (final Basel III, other jurisdictions) | The same three versions. |
| 800, 801, 802 | US Basel III Endgame | The same three versions, with CCAR reporting outputs. |
Basel IV is the industry’s name for the final Basel III standards; the Basel Committee does not use it. If your regime is a mix, we build a hybrid. Liquidity and the ILAAP sit in the liquidity models.
Inside the model
The UK Basel 3.1 model is described here; the CRR III, Basel IV and US models apply the same approaches under their own rules.
Credit risk under the new standardised approach; counterparty credit risk under SA-CCR; CVA under the basic approach; and operational risk under the new standardised approach. Model 501 adds FRTB market risk under its standardised approach, and 502 holds that calculation alone. Capital resources, the buffers, Pillar 2A and the leverage ratio sit in the same workbook.
Interest rate risk in the banking book, concentration risk by Herfindahl-Hirschman index, and capital for liquidity, reputational, environmental and social, cyber, group, strategic, legal and model risk. Management headroom and supervisory buffer overlays are held for Pillar 2B; the final determination stays a supervisory assessment.
A base case and four stress scenarios (idiosyncratic, market-wide, combined and macroeconomic) over three years, with reverse stress testing to the point of non-viability. Outputs: capital ratio trends, RWA breakdowns, surplus or deficit charts and the Pillar 3 disclosure report.
Data and set-up
It runs on data your finance and treasury teams already produce: exposures by class with ratings, collateral and property values, the capital base and the business plan behind the projection. Input and output cells are colour-coded separately, and every assumption sits in one register with a change log.
What usually breaks when a firm moves its capital calculation off a home-built spreadsheet is classification, not arithmetic. Under Basel 3.1 a residential mortgage’s risk weight turns on loan-to-value and on whether repayment is materially dependent on the property’s cash flows, and the PRA expects every existing real estate exposure to have been assessed for that by 1 January 2027. A loan book tagged to the old buckets cannot be risk-weighted under the new tables, so set-up starts there (see implementation and support).
Source: Bank of England, PS1/26 Implementation of Basel 3.1: final rules, 20 January 2026, para 2.6 and rule instrument Articles 124F and 124G.
Validation and audit
Governance of the model stays your firm’s responsibility, so it is built to be tested rather than taken on trust.
Every formula can be traced from an input cell to the ratio it feeds; there is no VBA, so nothing for your security team to vet; the user manual carries the technical specification and the assumptions register shows what changed and when.
Regulatory timetable
PRA Basel 3.1 rules and reporting apply
Models 500 to 502 follow the PRA’s final Basel 3.1 rules in PS1/26, published on 20 January 2026 and in force, with their reporting requirements, from 1 January 2027. The internal model approach for market risk, from 1 January 2028, is outside the models’ scope.
Pillar 2A changes as well: the PRA will rebase variable Pillar 2A and the PRA buffer in an off-cycle review that needs no full ICAAP, and from 1 January 2027 the refined methodology is retired and the PS15/26 changes apply. Feed the model’s Pillar 2A inputs from the new methodologies rather than last year’s add-ons. More on Basel 3.1 and ICAAP support.
Sources: Bank of England, PS1/26, 20 January 2026, paras 1.23, 1.24 and 1.26; PS9/24, 12 September 2024, paras 6.2 and 6.6; PS2/26, 20 January 2026; PS15/26, 28 May 2026.
Licence
You pay once. The licence is perpetual, for internal use by the legal entity named in your order, with no subscription or annual maintenance fee.
A regulatory logic error or functional defect in the model as delivered is corrected free of charge, however long after delivery, and a regulatory update commitment covers statutory changes to the rules it is built on for the update period in your order. Name the entity that will run the ICAAP in the order.
Your team can tailor the models; tailoring, implementation and validation support come from Risk Advisory under a separate agreement. Prices are on request.
Implementation and support
It starts with a walkthrough of the model against your balance sheet, then configuration, a first run on your own data and training for the people who will own it. Firms typically move from walkthrough to implementation in weeks, with practitioner support where your team is short of time.
Run that first pass on a quarter-end you have already reported, so the Pillar 1 output can be reconciled to a filed return before anyone projects from it; differences there are almost always classification.
After go-live, remote support carries the model through early use and a change of staff.
FAQ
Both. It calculates the Pillar 1 and Pillar 2 requirements and the capital resources, then projects them over a three-year base case and four stress scenarios, so the ICAAP and the capital plan use one set of figures.
A UK bank with no trading book and no material market risk usually takes model 500; one with a trading book, 501; a firm that already has an all-risks engine and needs only the FRTB calculation, 502. The same pattern applies to the other series; we confirm the fit in the demo.
No, it is built to the full Basel 3.1 rules. The SDDT regime, in force from 1 January 2027 under PS4/26, keeps the Basel 3.1 standardised approaches for credit and operational risk but disapplies CVA and most derivative counterparty credit risk capital and replaces the buffers with a Single Capital Buffer; ask us about a tailored version.
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Insights
From 1 January 2027 an ICAAP has to be written on a Basel 3.1 basis. The PRA set this out in PS15/26: ICAAPs signed off by boards in 2026 should include an impact assessment of Basel...
By Mark Dougherty · 8 min readPillar 2A is the firm-specific capital the PRA requires a bank or building society to hold on top of its Pillar 1 minimum, for risks Pillar 1 does not capture or does not capture fully, such...
By Mark Dougherty · 7 min readThe Basel 3.1 output floor stops a firm’s modelled risk-weighted assets falling below a set share of what the standardised approaches would produce. In the UK it starts at 60% on 1 January 2027 and rises...
By Mark Dougherty · 7 min readNext step
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