Avantage Reply assisted a European Institution in implementing its own version of Credit Risk models and migrating from Moody’s RAY to a Java-based solution implementation. The institution needed Avantage Reply support to ensure smooth communication between the business and the developers and to ensure the correct migration and implementation of the new models. All the process required completed documentation.
The Client’s Credit Risk team was responsible for the maintenance and implementation of internal models, including but not limited to risk-free rate, cash flows and ECAP.
In this context, Avantage Reply brought its functional expertise and acted as a liaison between the business and the IT department to ensure the successful migration and implementation of the new internal models.
Additionally, the client’s objective was to document the migration and testing process as well as the final set-up to facilitate audit trail.
One of the challenges was outdated functional specifications which were largely written many years in the past and have not been updated since to reflect the evolution of the institution.
The second difficulty was the understanding between the business and the developers. This situation led, among others, to wrong workload estimations. Combined with the first Covid-19 wave (and the associated remote working), that resulted in additional and significant overtime from project teams.
To achieve the objectives defined by the client, Avantage Reply perform the following actions: