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Case Studies

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Case Study

Risk Analysis for the introduction of new lending products

The client, a public lending bank, wanted to introduce two new products to its portfolio and needed to conduct a risk assessment in order to determine the bank’s capital needs for these new products. The main problem was that the client had no internal data to support such an assessment. Using historic statistical data, AR provided the client with a model that allowed to assess the risks associated with these products and determine the capital needs for these products.

Case Study

Documenting the accounting and prudential treatment of complex transactions

Avantage Reply assisted a well-known Private Bank in the Eurozone to document the non-standard accounting and prudential treatment of structured finance transactions. The tailor- made structured finance solutions, e.g. asset-backed finance transactions, operating leases and export leases, do require special consideration regarding regulatory reporting and risk management.

Case Study

Risk Database : Improvements for risk management steering

The risk department was experiencing difficulties with providing timely analysis and reporting to satisfy the internal deadlines for risk management purposes. Avantage Reply was engaged by this public financial institution to improve the risk database and risk metrics production for management purposes.

Case Study

Risk Mapping

In order to improve institution's internal control framework for the risk function, the client has requested Avantage Reply to design and implement a risk mapping and an associated internal control plan for all financial.

Case Study

ICAAP models : Model inventory and multi-year model validation plan

Avantage Reply was engaged to provide subject matter expert support to design an inventory of all ICAAP models and to define a multi-year model validation plan for the independent model validation department.

Case Study

EBA/ECB Stress Tests Framing : Stress tests methodologies and governance framework

In anticipation of the coming supervisory stress tests exercise, the client requested Avantage Reply to conduct a pre-framing work on the key methodologies but also to propose a target governance framework.

Case Study

Update of a recovery plan : Implementation and submission package

In order to complete the annual update of the recovery plan, the client has requested Avantage Reply to lead and steer the overall process to adress ECB recommendations and refresh the bank’s recovery scenarios, indicators and options.

Case Study

ECB's OSI CREDIT RISK Remediation plan design and implementation

In order to actively work on the remediation of ECB recommendations resulting from an OSI on Credit risk management, the client has requested Avantage Reply to set up an independant analysis of all the recommendations, to define a remediation action plan and to steer and follow its implementation.

Case Study

Reshaping of the IRRBB risk measurement framework

Avantage Reply was engaged to support this client with improving its IRRBB measurement framework in line with regulatory and internal expectations.

Case Study

Internal capital adequacy; assessment process (ICAAP) Design and Implementation

Through an extensive experience in SSM ECB SREP, Avantage Reply was engaged to lead and design the first ICAAP framework and its key components. It was mandated to define and implement the governance framework but also to provide subject matter support on risk models and capital management issues.

Case Study

Internal Stress Tests : Governance framework and P&L modeling

In line whit the annual internal stress test exercice, the client requested Avantage Reply to provide subjet matter expert to model P&L components and ensure the proper implementation and steering of the governance framework.

Case Study

Leverage ratio: Budget forecast and modelling

The client was seeking to develop a projected leverage ratio in line with budget assumptions and forecasts in order to strenghten its capital management steering. Avantage Reply assisted the client to design and implement a simple model and associated tool to project the Leverage ratio under different scenarios.

Case Study

Crisis Recovery Plan

In order to exercise the annual update of the Crisis Recovery Plan of the subsidiary of a large French bank and improve the coherence with the Group’s guide, the client has requested Avantage Reply to update and reinforce their Crisis Recovery Plan report with the focus on the Governance, Business activity analysis, the coherence with Contingency funding plan and the Group’s guide.

Case Study

Risk Appetite Framework Reshaping and integration into budget processing

As part of the annual review of the Risk Appetite Framework, the clients decided to reshape and redesign its framework to better integrate it with other internal processes such as the strategic plan, the budget process and the ICAAP.

Case Study

Regulatory Reporting Support

The bank needs the assistance to Luxembourg Regulatory Reporting team in reviewing the statistical reporting procedures, namely S-b-S (Titre Par Titre), SEPA (PS), BOP (Balance of payment) and BoP statec, and training the new resources arriving from a newly acquired company on these reports.

Case Study

IRRBB Methodological support and strengthen the operational process efficiency

Avantage Reply was requested to assist the client in reviewing and strengthening the IRRBB framework in terms of both methodological support and operational process efficiency to comply with the Group’s standards in the computation of NPVaR and NIIaR metrics.

Case Study

EMR Gap Analysis FINREP, COREP, LEVREP

Under its Regulatory Reporting Remediation Programme (RE³), the client was reviewing the Governance of the production process of the Financial Reporting (FINREP), Common Solvency Ratio Reporting (COREP) and Leverage Ratio Reporting (LEVREP). The Bank mandated Avantage Reply to provide a benchmark of the production process of its regulatory reporting in the Bank against the Group process through a Gap Analysis.

Case Study

ILAAP Design and implementation

In order to improve institutions’ ILAAP framework, the client has requested Avantage Reply to reshape and reinforce their ILAAP report with the focus on improving the governance, completing the report with the part of risk identification and initiating an internal liquidity stress testing framework.

Case Study

Data Governance Assessment

The client is a European Private Bank with Wealth Management operations. In the context of the expected transition to direct supervision of the ECB (European Central Bank), the client has requested Avantage Reply to assist in undertaking an assessment of its Data Governance Framework and Data Quality to provide the bank with a set of practical recommendations to ensure that the bank can satisfy the requirements of the ECB in light of BCBS 239 (The Basel Committee on Banking Supervision’s principles for effective risk data aggregation and risk reporting).

Case Study

Outsourcing Policy Update to align with new EBA and local requirements

Avantage Reply assisted a Private Banking group in the Eurozone to review of group Outsourcing policy. In light of changing European and national regulatory requirements that came into force in 2019, our client revised the internal processes and procedures regarding the management and oversight of both, intra-group and third-party outsourcing activities.

Case Study

KPI and Dashboard definition advisor

The Client is the Insurance arm of an international banking group. The client needed expertise to define Key Performance Indicators and design Performance Dashboards regarding all operations. Avantage Repy provided Finance and Strategy skills to understand and execute the client’s needs.