This briefing note aims to present first the forthcoming ECB's supervisory stress tests, highlighting areas that banks should anticipate by the summer of 2019, especially concerning operational issues. Secondly, this paper shares a number of market practices surrounding liquidity stress test frameworks for internal management and strategic steering purposes.
Recent technological advancements have accelerated the integration of AI and machine learning models into more and more banking processes. In today’s banking industry, institutions not using AI and machine learning risk losing their competitive edge, as competitors are increasingly enhancing their strategic decisions with the powerful analytical capabilities of AI and machine learning.
Avantage Reply was engaged to create a new interest rate risk in the banking book (IRRBB) model in full compliance with all regulatory requirements.
Avantage Reply was engaged to review and challenge a model used to comply with the US liquidity Coverage Ratio requirements.
The comprehensive common EU SREP framework was established in 2014 and has been applied in practice since 2016. Following global regulatory developments, as well as the EBA's supervisory convergence assessments, specific changes were needed to reinforce the SREP framework.
On 29 March 2019, the UK will leave the EU after 46 years of continuous membership. What exactly will Brexit mean for Financial Institutions? What actions will need to be taken as a result? While the exact answers to these questions depend on the outcome of UK-EU negotiations, this Whitepaper explores the consequences of the possible scenarios to help Financial Institutions brace for impact.
A large bank needed support to validate three
AIRB (Advanced Internal Rating-Based) low default portfolio models.
Avantage Reply assisted the client by validating all three models and by supporting various stakeholders in developing an approach to ensure the compliance with regulatory requirements.
Avantage Reply assisted a world market leader in Credit Insurance in supporting its Risk Modelling team with the monthly and quarterly processes regarding the quantification of the credit risk linked to their insurance portfolio.
This briefing note focuses on the key sets of guidelines on institutions' stress testing, highlighting areas that banks should carefully evaluate to address the requirements in a timely fashion considering compliance and associated operational issues.
On the 31 October 2017, the EBA published a consultation paper. The objective is to consult on the revisions in the first quarter of 2018, targeting practical implementation by the end of 2018. This publication focuses on the implications of these latest developments for banks, highlighting areas that should be evaluated when addressing the requirements, considering all compliance operational issues.
In February 2017, the ECB launched the executive phase of the Targeted Review on Internal Models (TRIM). This White Paper provides both an update for the Credit Risk side and shares the common understanding related to the latest results and future points of attention. It also discusses the requirements for the design of the process and IT architectures supporting the regulatory exercises, as well as providing best practices for institutions.
Avantage Reply assisted the client in preparing technical notes for the Single Resolution Board in the context of the elaboration of its first resolution plan.
Avantage Reply was engaged to lead the design of a comprehensive model risk management framework.
This comprised a new model governance, organisation, policy, and supporting documentation. It was fully aligned to industry best practice as well as model risk regulations, such as SR 11-7 (Fed) and TRIM (ECB).
Data Robotics Solutions are emerging as a highly effective, yet practical approach for banks to reduce operational risk, improve efficiency, reduce costs and derive additional value. From Robotic Process Automation to machine learning enabled Intelligent Process Automation, banks that have started implementing these solutions are reaping the rewards, both from a financial and compliance perspective.
Models are an integral part of modern banking. They are used inter alia to price transactions, value portfolios and optimise returns. They are also a key cornerstone of the regulatory framework, used to determine required capital and liquidity. In this paper, we set out the key cornerstones of a modern model risk management framework. We start with an overview of the regulatory (i.e., mandatory) requirements, but then consider in greater detail other aspects of the framework, in particular those where some element of management discretion remains.
On 18 April, the FCA released their 2017/18 Business Plan describing their planned work for the coming year. Amongst their priorities relating to retail customers, technology and AML was an announcement from the FCA of planned supervisory interventions in the custodian banking sector.
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.
The EIOPA issued on 2 December 2016 a discussion paper on “potential harmonisation of recovery and resolution frameworks for insurers”. The aim of this document is to focus on key aspects of the discussion paper on which EIOPA is seeking feedback from insurers.
This Briefing Note focuses on the business model analysis, highlighting areas that banks should carefully evaluate to address the requirements in a timely fashion, considering all compliance and associated operational issues.
On 23 November 2016, the European Commission released its proposals to amend the Capital Requirements Regulation (CRR) and the fourth Capital Requirements Directive (CRD 4). This Briefing Note presents an overview of these regulatory developments highlighting areas that banks should carefully evaluate.