The client, a major universal bank featuring a significant wealth management activity, was in the process of enhancing its IRB framework (Internal Ratings Based) following Basel IV requirements and feedback from the European Central Bank (ECB). This program has been launched to repair internal models used to calculate own funds requirements for credit risk under the Internal Ratings Based (IRB) approach.
The main objective of Avantage Reply in cooperation with the Group’s ongoing efforts was to lead, coordinate and support one of the program’s workstreams on Organisation & Governance, Rating Systems, Performance & Analytics and Data & Architecture IT.
The ultimate objective of this project was to support the Bank with the successful submission of the Financial Institution response to the ECB. More specifically, this support covered two key areas:
Avantage Reply’s team was well prepared for the engagement and received all the necessary support from the client. However, several challenges became evident over time such as:
Avantage Reply deployed a strong overall PMO governance and implemented guidance aiming at providing:
Our strong expertise on IRB repair-related questions and projects also allowed Avantage Reply to provide technical support and market insights to the streams Rating Systems, Performance & Analytics, Data & IT Architecture ensuring support with the local models enhancement and supervisory feedback on remediation.