• 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

VALIDATION OF ADVANCED INTERNAL RATING-BASED LOW-DEFAULT PORTFOLIO MODELS

FOCUS ON: Case studies,

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. Avantage Reply not only completed the validation within a strictly limited time frame, but also provided a valuable third-party view regarding how to further improve the models and the model governance.

CUSTOMER GOALS & CHALLENGES

The client required Avantage Reply to carry out both qualitative and quantitative validation of three AIRB models. They also aimed to establish a comprehensive approach to Model Risk Management across the suite of models used by the Bank.

To effectively support the client, Avantage Reply needed to quickly gain a deep understanding of the client’s organization and its operations to develop recommendations within a short time frame. The client trusted Avantage Reply to deliver insights on industry practices and an assessment of the expert recommendations the client had been presented with so far.

SOLUTION

Avantage Reply benchmarked the Bank’s model validation approach against the industry standards, regulatory requirements and supervisory expectations. Avantage Reply also delivered three independent model validation reports, including recommendations for enhancement.

Avantage Reply also proposed concrete organizational changes based on their experience and industry best practices to optimize the governance within the client’s risk management function.

RELATED CONTENTS

Case Study

Counterparty Credit Risk (Pillar 1 and 2)

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.

Case Study

Standardised Approach for Counterparty Credit Risk

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 with calculating the capital requirements for counterparty credit risk under the new standardised approach. This project was a continuation of similar work which Avantage Reply performed prior for this client, regarding the mark-to-market approach.

Case Study

Development and implementation of the IRB-models

Avantage Reply supported a large bank in Luxembourg with a complete transformation of the internal credit risk model portfolio. In doing so, our team was involved in several steps of the model lifecycle: model development, model backtesting, model validation by the second line of defense, model review by the ECB and implementation of the model in the bank’s IT system.

 ​
 
 ​
 
Reply ©​​ 2022 - 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)