A closed convex subset C of a Banach space X is called approximatively polyhedral if for each ε > 0 there is a polyhedral (= intersection of finitely many closed half-spaces) convex set P ⊂ X at Hausdorff distance < ε from C. We characterize approximatively polyhedral convex sets in Banach spaces and apply the characterization to show that a connected component 𝓗 of the space $Conv_{𝖧}(X)$ of closed convex subsets of X endowed with the Hausdorff metric is separable if and only if 𝓗 contains a polyhedral convex set.