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Case Study

IMM, IMA and IRB: Roadmap Delivery for the Brexit Entity of a Global Investment Bank

Avantage Reply used their expertise to help the new Brexit entity of a global investment bank meet the requirements of the Capital Requirements Regulation (CRR). Learn about the challenges faced in developing and embedding the roadmap and the solutions provided.

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Regulatory Credit Risk Database

Avantage Reply supported an globally operating European investment bank with maintenance and user assistance of the regulatory database used to compute and manage regulatory and accounting figures for the client’s group Common Reporting (CoREP).

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ICAAP and Capital Management: Remediation plan and roadmap

Following an on-site inspection conducted by the ECB on the Group’s ICAAP and increasing supervisory requirements, the client was looking to establish a remediation plan and design a 2 year roadmap to strenghten their ICAAP and establish a capital management framework in line with market best practices. Avantage Reply was engaged to establish the remediation plan and design the roadmap to adress the findings of ECB’s on-site inspection, to comply with supervisory requirements and to be in line with market practices

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ICAAP/ILAAP – Gap Analysis and Roadmap

Faced with increasing supervisory expectations, the client mandated Avantage Reply to perform a gap analysis and define a remediation roadmap regarding its capital and liquidity adequacy assessment processes (ICAAP and ILAAP).

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Independent Model Validation

Avantage Reply was engaged by the independant validation function of a large bank to conduct independant model validation of risk management models, and backtesting reviews on a large scope of credit risk models.

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Model Risk Management - Reshaping of the independent validation function of financial risk models

Avantage Reply was engaged to assist the client in the reshaping of the independent validation function covering all financial risk models and valuation models, in order to be consistent with a Model Risk Management Framework, using regulatory guidelines, industry best practices and the Internal Audit recommendations.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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Liquidity Risk Model Review

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

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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.

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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).