• about reply
Avantage Reply Logo
Menu
  • About Us
    About Us
    • About Us
    • History
    • Our Approach
    • Values
    • Alumni
    • Strategic Partners
    • Media Contacts
    • Contact Us
  • Our Capabilities
    Our Capabilities
    • Our Capabilities
    • Risk
    • Insurance
    • Finance
    • Conduct & Compliance
    • Technology
  • Newsroom
    Newsroom
    • Newsroom
    • News
    • Events
    • Press Articles
    • Blog
    • Academy
  • Publications
    Publications
    • Publications
    • Briefing Notes
    • Case Studies
    • CRO Insights Journals
    • Infographics
    • White Papers & Practical Guides
  • Career
    Career
    • Career
    • BELGIUM
    • FRANCE
    • ITALY
    • LUXEMBOURG
    • NETHERLANDS
    • UK
  • about Reply
Avantage Reply Logo

Search

Focus On

Case Study

IRRBB Methodological support and strengthen the operational process efficiency

FOCUS ON: Case studies,
THE CLIENT

The client is a subsidiary of one of the largest European Global Systemically Important Banks (GSIB) with banking activities, treasury and trading.

THE CONTEXT

The client was looking to improve its IRRBB measurement framework to better integrate it in its ALM strategy. On top of this, an ECB on-site inspection focusing on IRRRB framework has been conducted at the Group level leading to a set of areas of improvement on the methodology used for computing IRRBB metrics and its operational processes.

THE CHALLENGE

Avantage Reply has been requested to provide subject matter expert support to design and implement IRRBB metrics. Facing key areas of improvements in terms of IRRBB measurement, there were several challenges with different layers like risk identification, risk quantification, methodology implementation, data availability, information system dependence for the risk department impacted by this activity.

APPROACH AND SOLUTION

The mission started by conducting an in-depth analysis at both local level and group level for governance, policies, procedures and operations required to be implemented for all local levels within the Group. A four step, top-down approach was applied:

1. Set properly target required by the Group;

2. Highlight current state’s findings;

3. Point out gaps between targets and findings;

4. Analyze gaps with several actions to perform in order to set a general roadmap with a global action plan.

Due to the specific context, each step was performed around different axes of analysis: 1 – Risk perimeter; 2 – Activities perimeter in terms of Group Treasury (GT) monitoring; 3 – Methodology review; 4 – Operational process review; and 5 – Information systems and data.

A short term tactical solution was adopted for Group Treasury (GT) reporting & analysis to strengthen the existing reporting process by capitalizing on the Group expertise via Murex development. Long term strategical solutions were adopted to review structural issues related to the balance sheet’s assets modeling for all business lines outside of Group Treasury.

RESULTS AND BENEFITS

The completion of the project allowed the local entities to comply with the Group’s minimum standards and methodological requirements. This will improve 1 - IRRBB metrics measurement; 2 - efficiency in the reporting process and 3 - the risk analysis and its understanding in the evolution of IRRBB metrics over time. The mandate has been successfully completed regarding the design of all the key steps for implanting the reinforcement of IRRBB risk metrics through strong methodology usage. Additionally, efficiencies were created through the implementation of a new operational process for the reporting and the analysis which is currently in-progress and planned for integration into the internal risk management and steering process.

RELATED CONTENTS

Case Study

Counterparty Credit Risk (Pillar 1 and 2)

The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance for the counterparty credit risk calculations and regulatory reporting of these products.

Case Study

Standardised Approach for Counterparty Credit Risk

The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance with calculating the capital requirements for counterparty credit risk under the new standardised approach. This project was a continuation of similar work which Avantage Reply performed prior for this client, regarding the mark-to-market approach.

Case Study

Development and implementation of the IRB-models

Avantage Reply supported a large bank in Luxembourg with a complete transformation of the internal credit risk model portfolio. In doing so, our team was involved in several steps of the model lifecycle: model development, model backtesting, model validation by the second line of defense, model review by the ECB and implementation of the model in the bank’s IT system.

 ​
 
 ​
 
Reply ©​​ 2022 - Company Information -
 Privacy Cookie Settings​
  • Abou​t Reply​​
  • Investors​​​
  • Newsroom
  • Follow Reply on
  • ​
​
  • ​About Avantage ​​Reply
  • Privacy & Cookies Policy
  • Information (Client)​
  • Information (Supplier)
  • Information (Candidate)