The client is one of the largest corporate and investment banks in France. It is notably specialised in capital markets activities, specialised financial services, asset management and private banking.
The client wanted to have a setup which would allow them to project their leverage ratio under multiple scenarios for strategic steering and decision-making purposes and which would provide a more robust measure of the institution’s leverage effect. The quantitative approach should be simple and adapted to the institution’s portfolio and consistent with current capital planning processes. To fulfil these client objectives, the main activities were to:
Avantage Reply designed a comprehensive model from data specification and mapping to model build and implementation. The main elements of the modelling strategy were:
The key outputs from the project were the implementation of a simple tool which was integrated into the capital planning process. The documentation of the model and associated assumptions has been drafted and validated by the client.
The model and associated tool implemented by Avantage Reply has allowed the bank to enrich its set of comprehensive measures for capital management purposes. It also provides additional metrics for performance management and capital management for strategic decisions.