The client conducts yearly global internal stress tests as part of the management of its activity and contributes to Group-level exercises. The financial management department oversees the entire exercise and is responsible for the modelling and simulation of certain components of the income statement. The client was looking to use an external firm to accompany it in the coordination work of this campaign as well as to take charge of the production of the stressed trajectories of the P&L. In coordination with its holding, the institution was looking to carry out this campaign with the following main objectives:
It was in this context that Avantage Reply was requested to provide subject matter expert support to ensure the proper preparation and implementation of the various P&L stress tests models and to prepare the framework and implementation of the global governance of stress tests. These different streams included the following works:
At the end of the intervention, the overall process could be carried out, without too many major difficulties, while ensuring the identification of areas for improvement in terms of methodologies or processes. In addition, Avantage Reply has delivered a global package on P&L component models and simulations and a gap analysis on the current governance framework.