Internal Audit of ICAAP, IRRBB and Market Risk

A Global Systemically Important Banking group (G-SIB) from UK planned  to conduct internal audits on  Internal Capital Adequacy Processes (ICAAPs including Operational Risk, Pension Risk and Capital Planning), Interest rate risk in the Banking Book (IRRBB) and Market Risk, for the Group and its subsidiaries to ensure Compliance with the regulations laid down in Basel III. 

Avantage Reply provided subject matter expertise support to the Internal Audit department on a number of audits. Avantage Reply’s open and communicative approach with departments of the bank being audited allowed for methodology to be improved and, in some cases, figures to be restated by business-as-usual teams before submission to the board and to regulators.

Challenges

Avantage Reply worked with a major international banking group to deliver internal audits on ICAAPs (including Operational Risk, Pension Risk and Capital Planning), IRRBB and Market Risk, for the Group and its subsidiaries

Approach and Solution

Avantage Reply provided Suject matter expertise support to the Internal Audit department on a number of audits. Audit plans were developed, relevant documentation was reviewed, comprehensive control tests were carried out and issues raised were discussed with stakeholders, including Finance, Market Risk, Credit Risk and other stakeholders.

Results

Experience gained in internal audit, consultancy and practice at a number of key competitors allowed for cross-pollination of approaches and ideas. An open and communicative approach with departments of the bank being audited allowed for methodology to be improved and, in some cases, figures to be restated by business-ass-usual teams before submission to the board and to regulators. SME expertise was available to cover a stretched Internal Audit department.