Publications

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White Paper

EXPLORING THE IMPLEMENTATION OF THE EU TAXONOMY FOR FINANCIAL INSTITUTIONS

The birth of a general and structured regulation framing environmental performance of financial institutions creates a series of governance and practical questions within the industry. Its relative nascent stage requires an implementation far from traditional financial and risk reporting. Banks and Insurances, among others, need to anticipate the role of all their business lines, their data and insurers their top governance management in this implementation.

White Paper

Integrating Climate Risk into Credit Risk Modelling

This opinion paper note intends to describe the emerging practices in terms of integrating climate risk into credit risk modelling.

Briefing Note

Regulatory Reporting - Practical roadmap to implementing regulatory changes

The European Banking Authority (EBA) is responsible for setting harmonised prudential rules for financial institutions throughout the EU. To achieve this objective, the EBA has developed Binding Technical Standards and guidelines commonly known as Implementing Technical Standards (ITS) for regulatory reporting – standards that must be respected by all European financial institutions.

Climate change

White Paper

Climate risk stress tests – Challenges & Capabilities

The purpose of this paper is to share preliminary thoughts regarding climate risk stress tests including already planned ECB SSM climate risk stress testing exercise but also our service offer for French customers in terms of climate risk stress testing. It describes our main skills and capabilities including our analysis and acceleration tools before sharing the types of interventions that we cover and our credentials.

Stress Tests

White Paper

Stress Tests

The purpose of this paper is to share our service offer for French customers in terms of stress testing. It describes our main skills and capabilities including our analysis and acceleration tools before sharing the types of interventions that we cover and our credentials.

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Environment & Climate Risk

White Paper

Environmental & Climate Risk Service Offer

The purpose of this paper is to share our service offer for French customers in terms of climate risk management. It describes our main skills and capabilities including our analysis and acceleration tools before sharing the types of interventions that we cover and our credentials.

Case Study

Implementing new ILAAP Handbook

The client wished to perform an enhanced gap-analysis of the organisation’s current ILAAP framework against the ECB and EBA guidelines as well as to use this information to design and implement an ILAAP Handbook/Framework document covering all in-scope entities. The final deliverable also included a detailed remediation roadmap, which helped the client and its entities to remediate and align their ILAAP processes across the Group in line with the regulatory and supervisory requirements.

Case Study

LIBOR transition program

The client has asked Avantage Reply to support one of its subsidiaries in the group-wide LIBOR transition program. The goal of the project was to move the bank from a high dependency on the LIBOR reference rates to the Alternative Reference Rates (ARR), as defined by the different Working Groups in their respective currencies.

Case Study

Review of Internal ratings methodologies

The project focused around the full review of the credit rating methodologies for non-financial counterparties, specifically models for sovereigns, corporates, funds and asset managers. The objective of the project was to test and document the credit rating methodologies to meet regulatory requirements and start the model validation process. Avantage Reply started the review with a pre-assessment of the rating model based on the best practices in order to identify the models’ gaps in different areas.

Briefing Note

Carbon Asset Risk Assessment Framework

Among the many challenges relating to climate risk management is the question of identifying and assessing exposure to Carbon risk. Indeed, Carbon risk could affect a wide range of physical assets and businesses.

Briefing Note

Initial Margin Requirements Phases 5 & 6

The European Market Infrastructure Regulation (EMIR) introduced initial margin requirements (IMR) for uncleared over-the-counter (OTC) derivatives, which constitutes the last piece of a series of measures aimed at reducing counterparty credit risk and systemic risk within the derivative markets.

Briefing Note

Solvency and Liquidity stress test self-assessment tools

Leveraging on its experience and in line with market practices, Avantage Reply has developed Solvency & Liquidity Stress Test self-assessments tools. Interactive and practical, these self-assessment tools cover the key building blocks of Solvency & Liquidity Stress test frameworks and provide an overview that will help benchmark the internal approaches in relation to supervisory expectations and market best practices.

Briefing Note

The impact of draft its on prudential disclosure on esg risks: an analysis

The European Banking Authority (hereafter “EBA”) introduced a consultation paper on the 1st of March 2021 regarding draft Implementing Technical Standard (hereafter ITS) for disclosures on Environmental, Social and Governance (hereafter “ESG”), and climate change related risks.

Case Study

VALIDATION OF THE MONITORING TOOL

The client requested Avantage Reply’s assistance with the review and validation of their monitoring tool (i.e. Monitoring Scorecard). This tool aimed to standardise, centralise and implement a common control mechanism to the monitoring activities related to the general mandate universe. In the course of the project, Avantage Reply applied its expertise in model validation and worked in close liaison with the team who developed the monitoring tool in order to ensure the comprehensiveness of the tool validation and to analyse a possible extension of the application of this tool to other mandates.

Briefing Note

SREP 2020: INSIGHTS AND ANALYSIS FROM THE OUTCOMES

Earlier this year, the ECB published the results of the 2020 Supervisory Review and Evaluation Process (SREP) after following a pragmatic approach towards the implementation of its annual exercise to reflect economic uncertainties caused by the Covid-19 pandemic. In this briefing note, we contextualise the 2020 SREP results against the previous five years and identify key areas of impact due to Covid-19.

Wind Down Planning

White Paper

A Practical Guide to Wind Down Planning

Wind-Down Planning remains high on the agenda of the Financial Conduct Authority (FCA). The first part of this paper describes the WDP in more detail, summarising its purpose, differences to other regulatory requirements, and what information should a plan include for it to be compliant. The following section lays out practical considerations on the four key themes that firms should scrutinise when improving their WDP.

Case Study

Recovery Fire Plan Drill

A UK challenger bank, providing a range of services to both individuals and business clients, engaged Avantage Reply to assist with the preparation for the Recovery Plan Fire Drill exercise, in line with the Prudential Regulation Authority’s (PRA) expectations and to provide independent feedback on the exercise conducted.

Briefing Note

Transforming Data Collection from the UK Financial Sector

In February 2021, the Bank of England (BoE) published its plan for transforming data collection from the UK financial sector. Learn more about the BoE’s vision, key proposed reforms, the transformation programme timeline, and how Avantage Reply can help businesses along this journey.

Capital Management

Briefing Note

Capital Planning Tool - Forecasting Capabilities for Solvency Ratios

Leveraging on its experience and in line with market practices, Avantage Reply has developed a Capital planning tool. Flexible and easy to use, it provides financial institutions with a tactical tool which allows them to easily perform capital simulations under different scenarios and integrate key outcomes into capital management and decision-making processes.

Risk Management

Briefing Note

The IRB Supervisory Formula and Estimation Risk

The PRA has previously expressed concerns regarding potential errors stemming from the internal model estimation process within credit risk, calling for Margin of Conservatism (MoC) to cover for possible underestimation. We have summarised the approach explored by the EBA to account for this possible underestimation.

Case Study

Identification of Financial Risks Associated to Climate Change

Avantage Reply supported a UK subsidiary of an Asian G-SIB that provides services to both retail and corporate customers to ensure all of its financial risks associated with climate change are identified and managed appropriately across its businesses.