The client is a Public Investment and Financing group serving French companies which has two main characteristics.
The Solvency Function wanted to work towards a robust stress testing framework, starting with framing the ECB/EBA 2020 supervisory stress test exercise by establishing the key components related to stress testing methodologies and the design of a target governance framework for internal stress tests.
It was in this context that Avantage Reply was requested to provide subject matter expert support to the following key aspects by:
To meet the client needs, Avantage Reply has deployed an efficient device composed of:
In practice, the approach adopted by Avantage Reply has been based on three main phases:
The aim of this phase is to assess the possible specificities of the EBA ST exercise that may require significant workloads within the different teams by identifying:
This phase consists of qualifying and structuring a governance mechanism based on the modules of the EBA ST exercise and adaptable for Internal ST. The objectives are mainly the management, the governance and the implementation of stress tests by defining:
The aim here is to define the principles of the device with its main components including:
The client has received a complete and granular package regarding the key methodologies per module in line with supervisory requirements. Besides, the target governance framework has been defined and implemented allowing to be well prepared in this challenging exercises. In addition, the client will be able to capitalise on this structuring for the benefit of the next internal stress tests exercise.