The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance for the counterparty credit risk calculations and regulatory reporting of these products.
The project had three major areas of focus:
The bank wanted to conduct a comprehensive risk management assessment of the derivative products to understand the following:
Avantage Reply’s team was well prepared for the engagement and received all the necessary support from the client. However, a number of challenges became evident over time such as:
In order to deliver on the objectives outlined in the customer goals section, Avantage Reply put together a team of CRR (i.e. Capital Requirements Regulation), ICAAP and derivatives experts, which conducted the following tasks: