• 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

Maintenance & user assistance of a regulatory credit risk database

FOCUS ON: Case studies, Finance,
SUMMARY

The client is a European Investment Bank with global operations. Its expertise covers Corporate & Investment Banking, Private Banking, Asset Management, and Specialised Financial Services. The client requested Avantage Reply to relocate its database system for CoREP computation to another European country and maintain it for several years.

CHALLENGES

The assignment covers the main aspects of the Capital Requirements Regulation (CRR) pertaining to the computation of the Risk-Weighted Assets for Credit and Counterparty Risk, the limits and exposures (including funds and securitisation look-through) within the framework of the Large Exposures regime. It also encompasses all the activities related to the specification of IT requirements and user assistance on the system itself, as well as on its underlying regulatory principles (explanation of the reliability of the system computations).

APPROACH AND SOLUTION

The project started with a transition phase consisting of (a) the implementation of governance and organisational arrangements, processes and procedures to control and monitor the team assigned to the contract and inform the client on the global performance of the project (b) the development of the knowledge of the assigned team on the system, subject to the contract and on the client’s own system development life cycle (SDLC), and (c) the relocation of the services from the client’s office in one EU country to another. Since the completion of this phase, the assigned team has been maintaining the system subject to contract and assisting its users on a stand-alone or business-as-usual basis (without the involvement of the client’s internal resources). The last phase will consist of the decommissioning of the system which is currently expected to be in 2021.

RESULTS AND BENEFITS

At the end of the project, the client had a fully operational database system to compute and manage regulatory and accounting figures for the group Common Reporting (CoREP) at the chosen location. Additionally, Avantage Reply continues to maintain the systems until its decommissioning in 2021.

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)