• about reply
Avantage Reply Logo
Menu
  • About Us
    About Us
    • About Us
    • History
    • Our Approach
    • Values
    • Alumni
    • Strategic Partners
    • Media Contacts
    • Contact Us
  • Our Capabilities
    Our Capabilities
    • Our Capabilities
    • Risk
    • Insurance
    • Finance
    • Conduct & Compliance
    • Technology
  • Newsroom
    Newsroom
    • Newsroom
    • News
    • Events
    • Press Articles
    • Blog
    • Academy
  • Publications
    Publications
    • Publications
    • Briefing Notes
    • Case Studies
    • CRO Insights Journals
    • Infographics
    • White Papers & Practical Guides
  • Career
    Career
    • Career
    • BELGIUM
    • FRANCE
    • ITALY
    • LUXEMBOURG
    • NETHERLANDS
    • UK
  • about Reply
Avantage Reply Logo

Search

Case Studies

Case Study

ICAAP / ILAAP - Design, implementation and Steering

FOCUS ON: Case studies,

THE CLIENT

The client is a former subsidiary of one of the largest UK banking groups and has recently undergone a change of ownership. The client’s activities cover retail banking, wealth management and insurance.

THE CHALLENGE

Following the acquisition of the bank by a new shareholder, the Prudential Control and Resolution Authority (‘ACPR’) conducted an in-depth assessment of the bank’s strategic, financial and risk profiles. In this context, the regulator challenged the bank on its capital and liquidity capabilities and requested them to implement their first Internal Capital Adequacy Assessment Process (ICAAP) and Internal Liquidity Adequacy Assessment Process (ILAAP). In this context, Avantage Reply was engaged to design, implement and steer these 2 strategic processes.

APPROACH AND SOLUTION

Our approach consisted of assessing the client’s current abilities to develop and implement both ICAAP and ILAAP processes. To do so, three steps were conducted, including (i) a gap analysis on key identified blocks, (ii) an action plan to design and implement both processes, and (iii) the full implementation of both overall frameworks. In practice, the first phase consisted of an in-depth analysis of the business model and internal governance, the existing risk profile, methodologies and risk management tools. This allowed the Avantage Reply team to draw conclusions and identify area of improvement for methodological, operational and governance components of the Bank’s capital and liquidity management frameworks. Subsequent to this, action plans were defined for both ICAAP and ILAAP frameworks in line with supervisory expectations and market practices. To complete the project, implementation phase work

For the ICAAP, the process was structured around the below:

  • Business model and strategy
  • Governance and internal control
  • Risk management framework
  • Risk identification and materiality assessment
  • Normative and economic methodologies
  • Capital adequacy, steering and allocation

For the ILAAP, the process was structured around the below

  • Business model and liquidity strategy
  • Funding and Liquidity governance and risk management
  • Balance sheet and risk driver analysis
  • Normative and economic methodologies
  • Liquidity contingency plan
  • Fund transfer pricing

Further to the above, Avantage Reply provided subject matter expertise on the following key topics:

  • Design and implementation of ICAAP/ILAAP governance (steering and project committees, methodological workshops…)
  • Design and implementation of the material risk identification process
  • Support and development of methodologies (Pillar 2 models, solvency and liquidity stress tests)
  • Simulation/analysis of results and verification of consistency
  • Drafting the ICAAP and ILAAP report including key policies and procedures

RESULTS AND BENEFITS

The client was able to demonstrate and present the system implemented in-house to monitor and control the level of its risks in relation to the adequacy of its internal capital and liquidity, its financial structure and its prudential environment.

  • Validation and submission phase. This phase concerned the validation of ICAAP and ILAAP reports and submission to the ACPR
  • Streamlining results
  • Writing the Capital Adequacy Statement ("CAS") and the Liquidity Adequacy Statement ("LAS")
  • Consolidation of the ICAAP/ILAAP package for the ACPR

RELATED CONTENTS

Case Study

Enhancement of Internal Rating Based Framework

The client, a major universal bank featuring a significant wealth management activity, was in the process of enhancing its IRB framework (Internal Ratings Based) following Basel IV requirements and feedback from the European Central Bank (ECB). This program has been launched to repair internal models used to calculate own funds requirements for credit risk under the Internal Ratings Based (IRB) approach.

Case Study

Remediation of the outsourcing control framework

In 2021, an internal systemic Bank launched a holistic risk assessment of its Depositary Bank (DB) business. As part of this review, Avantage Reply performed a review of DB exposure to risks related to outsourcing arrangements including the effectiveness of controls to mitigate associated risks.

Case Study

Testing and management of migration to a new accounting system

Avantage Reply assisted a Finance department of a well-known private bank in their migration to a new accounting system and in the early post-migration phase. The project covered a wide range of activities such as...

 ​
 
 ​
 
Reply ©​​ 2023 - Company Information -
 Privacy Cookie Settings​
  • Abou​t Reply​​
  • Investors​​​
  • Newsroom
  • Follow Reply on
  • ​
​
  • ​About Avantage ​​Reply
  • Privacy & Cookies Policy
  • Information (Client)​
  • Information (Supplier)
  • Information (Candidate)