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Case Studies

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Case Study

Audit of Market Model Validation function

Avantage Reply was engaged to provide subject matter expertise to the internal audit of the client’s market model validation department. This included the audit of all potential aspects and gaps to a comprehensive model risk management framework, notably the audit of the governance, organisation, policy, methodology and supporting documentation.

Case Study

Pillar II - Credit VaR Model and internal capital allocation

The client was seeking to develop a more risk sensitive measure of credit and concentration risks to address internal steering and regulatory requirements. Avantage Reply assisted the client to design and industrialise a model to evaluate economic capital in line with market practices.

Case Study

SREP Action plan – BMA, ICAAP and Capital Management

In order to improve institutions’ ICAAP framework, the client has requested Avantage Reply to design and implement an action plan focusing on the link between the Business model and the risk profile, risk identification and quantification methodologies and capital management governance.

Case Study

Internal Capital Adequacy Assessment Process (ICAAP) - Design, Implementation, and Steering

Through an extensive experience in SSM ECB SREP, Avantage Reply was engaged to lead and design the ICAAP framework and its key components. It was mandated to steer the overall process implementation and to provide SME support to build the key pieces of the framework.

Case Study

Business Model Analysis and Capital Management Governance

Subject to increasing supervisory requirements, the client was looking to strengthen its internal processes and comply with the annual SSM SREP. Avantage Reply was engaged to help the set up a new capital management governance and conduct a range of dedicated work to strengthen the linkage between the BMA and the ICAAP.

Case Study

LIQUIDITY STRESS TEST FRAMEWORK - DESIGN AND IMPLEMENTATION

Avantage Reply supported a European GSIB with the design and implementation of a liquidity stress testing framework to comply with the Group minimum standards, and integrate outcomes into the liquidity risk management and risk appetite.

Case Study

Pillar II - Modelling credit and concentration risk on the portfolio of a commercial bank

The client was seeking to develop a more risk sensitive measure of credit and concentration risks for internal steering purposes, and to comply with supervisory requirements. Avantage Reply assisted the client to identify the possible methodology options, and to conduct an impact study to estimate the impact on internal capital.

Case Study

Risk Management - Strengthening the Legal Entity Risk Function

Avantage Reply was engaged to strengthen the risk management function across several legal entities of the client. Our client is a global financial services company with a strong presence in the banking sector, including brokerage, custody, fund management and asset servicing businesses.

Case Study

A governance framework for Algorithmic Trading

A major Global investment bank requested Avantage Reply to assist with the delivery of a Governance framework and Global policy for electronic trading to satisfy the PRA SS 5/18 requirements.

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.

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

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).

Case Study

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.

Case Study

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.