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Case Studies

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Case Study

New definition of default

Avantage Reply was asked to assist the client, a European D-SIB, in conducting an impact analysis on the application of the new requirements. Avantage Reply successfully implemented a custom SAS-based solution to evaluate the gaps between the current and the new definition.

Case Study

ECB’s forward-looking regulatory requirements and expectations

Avantage Reply assisted one of the largest banks in Luxembourg, in continuing to address the European Central Bank’s (ECB) supervisory expectations in an effective and proactive manner. Avantage Reply’s added value relied on a benchmarking analysis against peer firms in Eurozone, enabling the bank to better understand the forward-looking regulatory requirements that the Bank should comply with.

Case Study

BACKTESTING LOSS GIVEN DEFAULT MODELS

Avantage Reply supported a large European bank based in Luxembourg in automating the back-testing of their retail models. The bank had a manual and tedious process, which required a lot of manual manipulations. Avantage Reply automated the whole process using Python thus saving the bank important resources and improving the overall test procedures and back-testing guidelines.

Case Study

Validation of an Interest Rate Model

The client, a major European financial institution, requested the assistance of Avantage Reply in the review and validation of the Negative Interest Rates Model. This model estimates the potential losses of interest rate variability and supports negative interest rates.

Case Study

Maintenance & user assistance of a regulatory credit risk database

The client is a European Investment Bank with global operations. Its expertise covers Corporate & Investment Banking, Private Banking, Asset Management, and Specialised Financial Services. The client requested Avantage Reply to relocate its database system for CoREP computation to another European country and maintain it for several years.

Case Study

CFO Assistance

The client, a G-SIB specialised in Private Banking and Asset Management, Trade Finance and Corporate Banking, needed support to produce their BASEL III regulatory reporting in line with EBA ITSs.

Case Study

Capital Management Action Plan

Avantage Reply was engaged to assist the client implement required actions to integrate the ICAAP process into strategic-decision making processes.

Case Study

IT Department Management Reporting Re-engineering

Our client is the IT department of a European retail bank and insurance company. They require future-proof financial reporting to be available to the managerial levels of their organisation. To achieve these ambitions, we defined a new reporting framework together with our client, and built & implemented the necessary tools and processes on that foundation.

Case Study

AML Remediation Program

A bank requested the engagement of Avantage Reply in August 2019 to support them with the implementation of the AML action plan and the recommendations imposed by the Supervisory Authority for the implementation of AML regulations within the Belgium financial sector.

Case Study

ICAAP / ILAAP - Design, implementation and Steering

After a change in owership, the client had a request from the local regulator relating to its internal capital and liquidity adequacy. This included risks associated with its strategic direction and business activities. Avantage Reply was engaged to help the client set up relevant processes and integrate these into its wider decision-making processes.

Case Study

ICAAP, ILAAP and Recovery plan Design and implementation

Avantage Reply was engaged to lead, design and implement internal steering processess including the RAF, the ICAAP, the ILAAP and the Recovery plan. For this, Avantage Reply was mandated to steer the overall process implementation and to provide SME support to build the key pieces of the framework.

Case Study

Warehouse and risk management framework - Gap analysis roadmap

Avantage Reply designed and implemented a risk managment framework for monitoring warehousing and distribution risks to comply with the client’s group minimum standards.

Case Study

IFRS 9 Impairment Model

A Tier 1 UK financial institution requested the support of Avantage Reply on the development of an in-house credit impairment model that would produce more accurate expected credit loss estimates and comply with the requirements of the IFRS 9 standard. Read the full case study here.

Case Study

Regulatory Reporting Remediation Program

Avantage Reply assisted a well-known Private Bank in Eurozone in improving the quality of FINREP & COREP reporting and in documenting internal production process. 

Case Study

Brexit Project Management Support and Risk Management Expertise

A US-headquartered G-SIB was looking to build a presence in the Eurozone (“Brexit Entity”) within a short period of time, amongst a great deal of Brexit uncertainty. Avantage Reply provided project management services to support the build-out of the Bank’s risk function enabling it to successfully deliver a highly-complex Brexit programme ready for the original Brexit date of March 2019.

Case Study

Regulatory Reporting Platform Migration

The client is a Private Banking and Asset Management institution headquartered in the Eurozone and present in 9 countries across Europe. The institution is under the direct supervision of the European Central Bank.

Case Study

Wind-Down Plan

Avantage Reply assisted a multi-asset broker, who primarily provides execution, clearing and prime brokerage services, with development of the Wind-Down Plan (WDP), required by the FCA. With a limited amount of time available, a detailed and extensive Wind-Down Plan was developed, following the FCA guidelines and industry best practices.

Case Study

Reverse Stress Test

A multi-asset bank, who primarily provides execution, clearing and prime brokerage services, requested Avantage Reply's assistance with the development of the reverse stress. Avantage Reply provided an expert team to revise and enhance the overall reverse stress testing methodology in time to submit the ICAAP before the regulatory deadline.

Case Study

Recovery Plan Test

Avantage Reply was requested by an international bank to design the crisis scenario, prepare the communication materials and to coordinate the execution of the recovery plan “fire drill”. Avantage Reply proposed an idiosyncratic and system-wide scenario that enabled them to test the formation of the bank's Crisis Management Committee (CMC) and provide concrete suggestions to improve the recovery plan.

Case Study

Data Lineage Roadmap Definition for the Brexit Entity of a Global Investment Bank

Avantage Reply assisted a leading global investment bank in putting together an end-to-end project plan and roadmap covering data lineage for market, credit and liquidity risk to satisfy the BCBS 239 requirements. This allowed the client to quickly mobilise the required stakeholders to ensure compliance.

Case Study

Electronic trading global policy and Governance framework

A major global investment bank requested Avantage Reply to assist in the delivery of a governance framework and global policy for electronic trading. Find out how Avantage Reply aided the client in developing, agreeing upon and embedding a tailored electronic trading governance framework in line with regulatory expectations.