Avantage Reply assisted a UK subsidiary of an Asian G-SIB with an independent review of its stress-testing methodology for financial risks arising from climate change.
In Credit Risk management, it is common practice for banks to use financials for assessing the creditworthiness of large and mid-corporates, with the drawback of being outdated by the time the credit review takes place. This paper proposes the use of real-time transactional data to circumvent this issue. This process can be further improved by setting in place teams dedicated to data management and preparation with the benefit of centralising the information used for other purposes, e.g. modelling, loss collection, monitoring, validation.
Avantage Reply has designed a quantitative model for the assessment of Reputational Risk, traditionally considered as discretionary, subjective and highly prone to interpretation. The Reputational Risk Quantitative Model allows us to overcome the reliance on human sensitivity for risk management. Download our white paper to find out more about the Q-model.
A leading trade association for the UK banking and financial services sector was looking to respond to one of the UK government bodies’ call for evidence on regulatory coordination in respect of recommendations for improving Cost/Benefit Analysis (CBA) by financial-services regulators in the UK. Avantage Reply was able to finalise the policy paper for the client to successfully submit their response to the UK regulator within the required timeframe.
The FRF review is a major opportunity to improve the effectiveness and efficiency of
banking and finance regulation now that the UK can determine its regime according to
its own priorities. In this response to HMT’s first consultation on phase II of the review,
we make detailed proposals for updating the framework under five main headings.
Avantage Reply assisted a UK asset manager that provides services to both retail and institutional clients, in ensuring its operational risk framework and stress testing approach meet the regulatory requirements and are aligned with the industry best practice.
The ECB banking supervision is based on the same rules as local supervision (single rulebook), public information on the differences between both is not commonly available. While there are differences, these are on a practical level and only known to experts with insights on both locally and directly supervised banks. Avantage Reply prepared a review of these differences and the gaps of the client to these the previous year. The client wanted to have an update on these recommendations based on the progress that was made during the year, also with regard to the updated timeline to ECB supervision. To address these topics, Avantage Reply organised workshops with its subject matter experts and the client and reviewed the relevant documents provided by the client.
Avantage Reply assisted a client that was reviewing a potential transaction as part of a strategy to take on selected exposures to second charge mortgages and efficiently deploy its capital resources. As part of its broader review, the client asked Avantage Reply to review their internal materials, identify relevant considerations (primarily from a capital and liquidity perspective) and provide an evaluation of the proposed structure of the transaction.
An EU bank had established a UK subsidiary to continue the activities of their currently passported branch after Brexit. The goal of the project was to assist the client with developing documentation that aligned with internal expectations and regulatory requirements in the UK.
Avantage Reply reviewed the risk management framework documentation for the subsidiary and four key documents for the subsidiary in the UK based on FCA regulation.
Avantage Reply assisted the
UK branch of an
EU bank who was expanding its UK activities in
commercial mortgages. The goal of the project was to assist the client with its regulatory reporting and compliance in the UK.
Avantage Reply reviewed the reporting requirements for the branch and developed a comprehensive suite of all reports that branches in the UK need to review and assess.
Leveraging on ECB Guide on climate-related and environmental risks and emerging market practices, Avantage Reply has developed a self-assessment tool for financial institutions.
The key objective is to help financial institutions while engaging bilateral discussions with ECB early 2021 and evaluating internal capabilities in terms of Environment and Climate-related risk management framework. Interactive and practical, the self-assessment tool covers the key building blocks of ERM function and assesses an institution’s readiness and preparedness in identifying, measuring and managing climate-related risks. Integration of climate dimensions at the highest level of the organization is key due to the transversal impact of climate risk over credit, market, liquidity, operational and other transversal risks.
Since the 2008 financial crisis, regulators have emphasised the importance for banks of using stress tests to better identify potential weaknesses in their banking books, trading books and liquidity positions in the event of market turmoil. This paper will show model outcomes likely to be observed by banks in the 2021 STEBA and propose solutions and considerations for banks to mitigate the risk of having to deal with unrealistic model outcomes.
On 11 January 2021, the Prudential Regulation Authority (PRA) published a set of documents to outline its approach to international banks (including designated investment firms) operating in the UK, covering both subsidiary and branch structures. This was expected. Our briefing note summarises the key proposals and outlines what they mean for international banks.
Leveraging on its experience and in line with market practices, Avantage Reply has developed several assets for the ICAAP covering risk quantification and capital planning.
This tools are covering the following themes: 1) Risk identification; 2) IRRBB 3) Credit Concentration risk 4) Operational risk 5)Capital planning
Leveraging on its experience and in line with market practices, Avantage Reply has developed ICAAP ILAAP self assessments tools. Interactive and easy to use, the self assessment tools cover the key building blocks of ICAAP and ILAAP frameworks and provide an overview that will help benchmarking frameworks in place against supervisory expectations and best practices. ICAAP and ILAAP integrated at the highest level of the organization is key for a proper use of both processes into the decision making process.
Covid-19 as well as other physical events have left UK financial institutions anxious about their abilities to continue critical operations during crises. The objective of this paper is to summarize key changes to the Principles for the Sound Management of Operational Risk and highlight the ways in which Avantage Reply can assist FS firms in improving their operational resilience.
9th November, the
UK Treasury published a roadmap for mandatory disclosures outlining HMT’s explicit expectations regarding
increased transparency and its continued focus on the
climate-related risks. Learn more about the significance of these expectations in this
Banks have now submitted their feedback on the Consultative Document on the Revisions to the Principles for the Sound Management of Operational Risk (PSMOR) published by the BCBS in August. In this briefing note, we contextualise the key proposed revisions to the PSMOR against the regulatory direction of travel over the last decade.
The Client, a huge international bank, request the support of Avantage Reply to further understand and quantify the differences arising between both of their IRRBB metrics calculators. The first, is a hand-made tool provided by the headquarter and the second is a well-known risk software solution used locally. Avantage Reply helps isolating and assessing each of the differences, and in case of materiality, set processes in order to compute overlays. Avantage Reply further helps to add and validate missing products. Validations cover parametrization of the tool, alinement of IRRBB inputs (margin and reference rate) and models (non-maturing products, prepayment, caps, floors,..)
The customer is a retail belgian bank focusing on mortgage loans and consumer credit. Following the implementation of the IFRS 9 ECL calculator, the need arised to implement a control framework to ensure timely and quality calculation and bookings, and integration in the accounting and reporting platforms. Avantage Reply helped the client bridge the distance between different departments to identify the right responsibilities at the right moment in the process to increase its reliability.
The customer is a strong financial player present worldwide providing services in banking sector and insurance. The goal of the project was to conduct a co-sourcing Internal Audit on Common Reporting (Corep). Avantage Reply provided the client with a tailored assistance to its specific needs bringing its expertise and knowledge in order to perform high quality assessment of Corep governance processes.