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Focus On

Stress Testing

Today, banks perform multiple forms of stress tests including:

  • Regulatory stress tests; for example the Bank of England’s annual concurrent stress test, the EBA stress test, and the Federal Reserve’s CCAR;
  • Stress tests incorporated into regulatory submissions including ICAAP (capital), ILAAP (liquidity) and recovery planning (integrating capital and liquidity);
  • Reverse stress tests; and
  • Business line, product level, or specific risk-type stress testing for internal risk management purposes.

As the extent, nature, complexity and timescales of stress testing becomes more demanding for banks, challenges have emerged including data quality, model suitability, control and governance; reporting and process efficiency.

OFFERING

Avantage Reply has extensive experience working with financial institutions in all aspects of stress testing including:

  • Regulatory stress tests: Assisting with the planning and delivery of regulatory stress testing exercises (e.g. EBA, BoE) in an execution or review and challenge role;
  • Stress test model management: Advising or assisting with the development or validation of stress testing projections models;
  • Data and reporting: Developing and implementing policies and procedures to enhance data quality, data management, documentation, report generation, and internal controls;
  • Process design, enhancement and automation: Performing process analysis and deep dives with a view to proposing and implementing efficiency-generating enhancements; including technology enabled automation solutions.

RELATED CONTENT

  • Bank of England Stress Tests: Unfinished business - briefing note
  • Data Robotics White Paper

RELATED CASE STUDIES

  • Case Study - EBA & ECB Stress Testing
  • Case Study - Solvent Wind down and Portfolio wide Stress Testing Data Submissions

RELATED CONTENTS

SREP

Best Practice

ECB/EBA: what’s new regarding the SREP and supervisory stress tests?

During 2017, the EBA and the ECB released several publications concerning the SREP process and supervisory stress tests. This Briefing Note focuses on the implications of these latest regulatory developments, highlighting areas that banks should carefully evaluate to address the requirements in a timely fashion, considering all compliance and associated operational issues.

UK stress test

Briefing Note

The Bank of England 2017 stress test: A catalyst for more efficient stress testing

On 27 March the BoE published the scenarios for their fourth annual stress test. Clearly this is not just a routine annual process; the BES and IFRS 9 make this test more operationally challenging. This paper takes a brief look at ways banks can improve the efficiency of their stress tests in the future.

Recovery Plans

White Paper

THE BANK RECOVERY AND RESOLUTION DIRECTIVE

TECHNICAL STANDARDS ON THE CONTENT OF RECOVERY PLANS IN THE EUROPEAN UNION

The objective of this paper, is to provide our clients with a comprehensive review of the technical standards related to recovery plans, and observations provided by the industry. Informed by Avantage Reply’s experience in assisting our clients with the preparation of recovery plans, this paper also functions as a user-friendly guide to the technical process of recovery plan preparation.

THE BANK RECOVERY AND RESOLUTION DIRECTIVE 0
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