The client is one of the largest financial institutions in France. It offers its clients a wide range of products and services: savings, investment, treasury, financing, insurance and investment solutions.
Following an ECB on-site inspection dedicated on the Group’s ICAAP, many findings pointed out the necessary areas of improvement of ICAAP models but also the lack of independent validation of key Pillar 2 models. In addition, the ECB concluded that the bank did not have sufficient quantitative capabilities or resources to properly conduct independent validations of these models. To address these shortcomings and as a first step to an effective Model Risk Management Framework, the client decided to develop an inventory of all ICAAP models in order to score them and define the key priorities in terms model validation for the following years.
Avantage Reply supported the bank in the implementation an action plan to address the shortcomings of the ICAAP validation process. This was done through conducting a number of methodological workshops in order to:
At the conclusion of the project, the key benefits and results for the bank were: