Publications

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Brexit

White Paper

The Impact of Brexit on Financial Institutions

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.

Case Study

VALIDATION OF ADVANCED INTERNAL RATING-BASED LOW-DEFAULT PORTFOLIO MODELS

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.

Case Study

Risk Modelling for Credit Insurance

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.

Risk Modelling for Credit Insurance 0

Stress tests

Briefing Note

BCBS/EBA: Latest Publications on Supervisory and Institution Stress Tests

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.

IRRBB

Briefing Note

EBA: latest developments regarding technical aspects of IRRBB

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.

TRIM

White Paper

Supervisory benchmarking and TRIM

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.

Supervisory benchmarking and TRIM 0

Case Study

Contributions to Resolution Planning

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.

Case Study

Model Risk Management

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).

Operational Risk & Data Robotics

White Paper

Operational Risk & Data Robotics

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.

Operational Risk & Data Robotics 0

Model Risk

White Paper

Model Risk Management

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.

Model Risk Management 0

Custody banks

Briefing Note

FCA plans review of custody banks’operational resilience

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.

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 and Resolution

Briefing Note

Recovery and Resolution Frameworks for Insurers

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.

Bank's business models

Briefing Note

Banks’ business models: Enhanced monitoring by the ECB

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.

CRR 2/ CRD 5

Briefing Note

CRR 2/CRD 5: High-level overview of the European Commission Proposals

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.

Stress Testing

Briefing Note

Analysis of the 2016 Bank of England stress testing results

The Bank of England has published the results of their annual concurrent stress test confirming that, in aggregate, the UK banking system is sufficiently capitalised to withstand a severe stress. However the regulator has been clear: there is more work to do for banks to have a sufficiently robust stress testing process. In this briefing, Avantage Reply provides its analysis and its perspectives on how banks can up their stress testing game.

Standardised Approach of Credit Risk

Briefing Note

The Standardised Approach for Credit Risk

The second consultative document for revisions to the Standardised Approach for Credit Risk was published in December 2015. It proposed significant revisions to the current credit risk capital framework and the first consultative document published in December 2014.

Risk & Compliance

Briefing Note

EDTF guidelines for IFRS 9 impairment-related disclosures

In 2012, the Financial Stability Board set up the Enhanced Disclosure Task Force (”EDTF”), which focused on the quality, comparability and transparency of these disclosures, particularly those flowing from IFRS 9 and US GAAP changes in Expected Credit Loss (“ECL”) approaches. In December 2015, the EDTF issued detailed guidance, including templates, for the requirements relating to changes in disclosures under the IFRS's new ECL regime. 

Risk & Compliance

Briefing Note

EBA Shadow Banking Limits - How will your firm be affected?

On the 14th of December 2015, the European Banking Authority (“EBA”) issued final guidelines for Limits on exposures to shadow banking entities, outlining how financial institutions are to manage limits on shadow banking exposures, effective from 1st January 2017.

Regulatory challenges

White Paper

Financial Services Outlook 2016 - Overview of the key challenges for firms in 2016

2016 promises to be another challenging year with more extensive regulatory involvement and further disruption of existing business models. Whilst financial industry firms will continue to rebuild their balance sheets and implement new regulations designed to strengthen standards for a simpler and safer industry, this year will bring additional challenges of dealing with new entrants, including fintech companies, and the necessity of business restructuring and portfolio rebalancing to achieve viable capital and cost bases.

Financial Services Outlook 2016 - Overview of the key challenges for firms in 2016 0

Risk & Compliance

Briefing Note

The Leverage Ratio

'Leverage' means the relative size of an institution's assets, offbalance sheet obligations and contingent obligations to pay or to deliver or to provide collateral, including obligations from received funding, made commitments, derivatives or repurchase agreements, but excluding obligations which can only be enforced during the liquidation of an institution, compared to that institution's own funds.