Article 99 of the CRR (Regulation (EU) No 575/2013) requires the European Banking Authority (EBA) to develop and maintain so-called Implementing Technical Standards (ITS) on supervisory reporting. They shall notably cover own funds, large exposures, leverage ratio, liquidity coverage ratio, additional monitoring metrics (AMM), stable funding, asset encumbrance (regrouped under COREP), financial information (FINREP), supervisory benchmarking (SBP) and resolution planning (Resolution).
Avantage Reply was engaged to provide subject matter expertise to the internal audit of the client’s market model validation department. This included the audit of all potential aspects and gaps to a comprehensive model risk management framework, notably the audit of the governance, organisation, policy, methodology and supporting documentation.
The client was seeking to develop a more risk sensitive measure of credit and concentration risks to address internal steering and regulatory requirements. Avantage Reply assisted the client to design and industrialise a model to evaluate economic capital in line with market practices.
In order to improve institutions’ ICAAP framework, the client has requested Avantage Reply to design and implement an action plan focusing on the link between the Business model and the risk profile, risk identification and quantification methodologies and capital management governance.
Through an extensive experience in SSM ECB SREP, Avantage Reply was engaged to lead and design the ICAAP framework and its key components. It was mandated to steer the overall process implementation and to provide SME support to build the key pieces of the framework.
Subject to increasing supervisory requirements, the client was looking to strengthen its internal processes and comply with the annual SSM SREP. Avantage Reply was engaged to help the set up a new capital management governance and conduct a range of dedicated work to strengthen the linkage between the BMA and the ICAAP.
Avantage Reply supported a European GSIB with the design and implementation of a liquidity stress testing framework to comply with the Group minimum standards, and integrate outcomes into the liquidity risk management and risk appetite.
The client was seeking to develop a more risk sensitive measure of credit and concentration risks for internal steering purposes, and to comply with supervisory requirements. Avantage Reply assisted the client to identify the possible methodology options, and to conduct an impact study to estimate the impact on internal capital.
Managing risk is central to any business, no matter the sector. It has always been crucially important in the financial sector, but more so now than ever before due to increased regulation and media scrutiny. Managing risk effectively helps you protect customers, shareholders, your employees and ultimately, a business’ reputation.
Inter-Bank Offered Rates (IBOR, of which LIBOR is one example) are being forced out due to regulatory pressure following a series of scandals. This transition will have significant ramifications as these rates are used as references in many wholesale transactions and some retail transactions. Following industry and regulatory consultations, new Risk-Free Rates (RFR) are replacing IBORs. In this publication, Avantage Reply will explore the impacts of this transition on banks.
This briefing note aims to present and analyse the key facts and main outcomes of the Supervisory Review and Evaluation Process 2018, as applicable in 2019.
Avantage Reply was engaged to strengthen the risk management function across several legal entities of the client. Our client is a global financial services company with a strong presence in the banking sector, including brokerage, custody, fund management and asset servicing businesses.
A major Global investment bank requested Avantage Reply to assist with the delivery of a Governance framework and Global policy for electronic trading to satisfy the PRA SS 5/18 requirements.
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.