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Case Studies

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Case Study

Implementing a new Interest rate risk model

Avantage Reply was engaged to create a new interest rate risk in the banking book (IRRBB) model in full compliance with all regulatory requirements.

Case Study

Liquidity Risk Model Review

Avantage Reply was engaged to review and challenge a model used to comply with the US liquidity Coverage Ratio requirements.

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.

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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

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).

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Variation of Permissions to hold Client Money

Avantage Reply assisted a metals and Energy trader/broker to apply for a Variation of Permission from the FSA to enable it to hold client money.

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Data management, Risk data aggregation and Risk Reporting

The client was after a coordinated approach to dealing with new regulation, especially in data related aspects. Avantage Reply was engaged to assist with the development and implementation of a strategy to deal with data related regulation consistently across the Group. This was achieved by reviewing best market practice, setting up the right data organisation, clearly articulating the benefits and goals of the data programme and engaging all functions and divisions to realise the benefits.

Case Study

Liquidity Risk Management Capability Diagnostic

The client was seeking an evaluation of its liquidity risk management capability in terms of the business being supported. Avantage Reply undertook a detailed review and provided recommendations for best practice liquidity risk management, which formed the basis of the client’s subsequent implementation programme.

Case Study

Preparation for FSA thematic and ARROW reviews

The client was seeking assistance in ensuring proper preparation for the FSA’s upcoming visits for both the Arrow and the thematic insurance reviews. Avantage Reply provided assistance with determining areas of likely FSA review and held briefings and mock interviews with potential FSA interviewees.

Case Study

Participation Risk Assessment and Modelling

The client has a substantial portfolio of participations in mostly thinly-traded companies, and was seeking an independent assessment of its participation risk in the context of risk profiling and capital adequacy. Avantage Reply performed an analysis of the client’s participation risk while also providing recommendations on the investment process and associated risk management practices, specifically the quantitative models used to measure participation risk.

Case Study

Local Markets Limits Migration

Following the acquisition of a large credit portfolio, the client sought to integrate the new portfolio while taking into account the distinct local market processes. Avantage Reply analysed various options for the migration of the new portfolio and local market limits, and provided recommendations in structuring the integration activities.

Case Study

Integration of credit risk reporting for global and institutional exposures

The client had recently acquired institutional banking and trading book exposures, and faced challenges in the integration of credit risk reporting for these exposures. Avantage Reply assisted the client by analysing key data and system issues and delivering a comprehensive solution for both regulatory and internal reporting requirements.

Case Study

ICAAP diagnostic and gap analysis

The client required assistance with the ICAAP process, taking account of the two separately-managed banks making up the group while also ensuring consistency from a consolidated group perspective. Avantage Reply provided an evaluation of risk and capital adequacy capabilities by reference to achieving regulatory compliance, while also providing a comparison against a benchmark of industry best practice.

Case Study

Derivatives Excess Management

Avantage Reply assisted the Corporate Banking division of a leading financial services group to understand the true picture of its exposure to Structured Lending Products (including FX and interest rate swap derivatives) and to identify and manage exposures in excess of individual limits.

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Customised Credit Decision Solution

The client required assistance with customising its credit management processes to provide enhancements and achieve regulatory compliance. Avantage Reply provided the client with an efficient, automated credit assessment tool that enabled better quality credit decisions by utilising a portfolio approach to the process.

Case Study

Credit process enhancement within completion of Basel II AIRB application, including the review of credit risk equivalent measurement for global exposure monitoring

As part of the global implementation of its Basel II AIRB approach, the client was required to upgrade a number of credit processes and monitoring tools. In addition, an enhanced and consistent methodology was required for credit risk exposure equivalent measurements for banking book products. Avantage Reply provided a pragmatic solution for monitoring and reporting of these global exposures, by taking resource constraints into account.

Case Study

Basel II Credit Risk implementation

The client was seeking approval to use the FIRB approach to determine the credit risk regulatory capital charge, and committed to a programme of change to design and implement the required systems, models policies and procedures. Avantage Reply was engaged to support the programme by assisting with project management of key workstreams and delivery of the application pack within the required timeframe.

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Operational Risk Management of the Bank Integration Streams

The client faced challenges in integrating the institutional banking book and trading book inherited as a result of a recent business acquisition. Avantage Reply provided knowledge and expertise in operational risk to provide support and deliver a comprehensive solution addressing integration risks.

Case Study

Trading credit risk management platform

The client wanted to replace its legacy trading credit risk management platform with a new platform supporting multiple capabilities and more effective integration with other systems. Avantage Reply took the lead in capturing business requirements, defining the target architecture, initiating the implementation project, and handing over to the client’s internal project management.

Case Study

Credit Risk Integration

The client recently purchased an international banking conglomerate and was facing challenges in migrating the credit risk of the acquired trading and banking books into its own systems. Avantage Reply provided leadership and technical expertise to develop pragmatic solutions during the complex change process.