Search Results for tag: Banks and building societies Page 2

Case Study

Liquidity Risk Management Capability Diagnostic

The client was seeking an evaluation of its liquidity risk management capability in terms of the business being supported. Avantage Reply undertook a detailed review and provided recommendations for best practice liquidity risk management, which formed the basis of the client’s subsequent implementation programme.

Case Study

Data management, Risk data aggregation and Risk Reporting

The client was after a coordinated approach to dealing with new regulation, especially in data related aspects. Avantage Reply was engaged to assist with the development and implementation of a strategy to deal with data related regulation consistently across the Group. This was achieved by reviewing best market practice, setting up the right data organisation, clearly articulating the benefits and goals of the data programme and engaging all functions and divisions to realise the benefits.

Case Study

Participation Risk Assessment and Modelling

The client has a substantial portfolio of participations in mostly thinly-traded companies, and was seeking an independent assessment of its participation risk in the context of risk profiling and capital adequacy. Avantage Reply performed an analysis of the client’s participation risk while also providing recommendations on the investment process and associated risk management practices, specifically the quantitative models used to measure participation risk.

Case Study

Credit process enhancement within completion of Basel II AIRB application, including the review of credit risk equivalent measurement for global exposure monitoring

As part of the global implementation of its Basel II AIRB approach, the client was required to upgrade a number of credit processes and monitoring tools. In addition, an enhanced and consistent methodology was required for credit risk exposure equivalent measurements for banking book products. Avantage Reply provided a pragmatic solution for monitoring and reporting of these global exposures, by taking resource constraints into account.

Case Study

Credit Risk Weighted Assets Quantitative Impact Analysis

The client decided to participate in the review of the Basel II Framework calibration via the Quantitative Impact Studies (QIS), and submit the QIS results to the local regulator. Given the presence of data quality gaps in the client’s source systems due to the fact that the Basel II platform had not yet been fully implemented, Avantage Reply was engaged to develop a temporary solution to source and enrich reliable data to be used for submitting the QIS results, involving definition of requirements, stakeholder engagement and development of assumptions.

Case Study

Credit Risk Model Waiver Application Process

The client was planning to adopt the Internal Ratings Based (IRB) approach to calculating credit risk, which required the submission of a Waiver Application to the UK regulator. Due to the complexity of the client’s IRB approach as a result of multiple information sources, contributors and complex concepts, Avantage Reply was engaged to coordinate the preparation of and review the Waiver Application. Avantage Reply worked with the client to create a waiver application pack, ensuring it was consistent in format and content, it was representative of the actualities of the client, and gaps with regulatory requirements were identified.

Case Study

Basel II Reference Data Solutions

The client lacked the level of data quality required to satisfy the Basel II Accord’s new standards for banks’ information systems. Avantage Reply was engaged to assist with the development and implementation of a reference data strategy to improve the standard of data quality and bring order to the seemingly infinite stores of disparate data and applications. These aims were achieved by developing a clear definition of reference data, organising a data cleansing programme, and developing a new governance and operating model supporting the full data management lifecycle.

Case Study

Basel II, Pillar 1 Reporting Analysis

The client was experiencing difficulties with providing timely analysis and reporting to satisfy the requirements of Pillar 1 of the Basel II Accord, specifically in the area of collateral management. Avantage Reply was engaged to facilitate improvements in the speed and accuracy of Basel II reporting, with the aim of allowing reporting & collateral management teams to move steadily from “fire control” to more strategic planning and development of new processes and systems. Steps were taken also to ensure underlying data quality issues were resolved.

Case Study

Basel II Credit Risk Mitigation Policy

The client initiated a Basel II Credit Risk Mitigation (CRM) Policy project to ensure business processes and capital calculation processes for risk mitigation techniques were covered in a new policy which was compliant with the UK interpretation of Basel II. Avantage Reply was engaged to create the CRM Policy and a framework for its implementation and ongoing maintenance. The CRM Policy document was formally agreed by the relevant business stakeholders and approval was received by the FSA to use the CRM in the client’s loss given default estimates, which led to a significant capital reduction.

Case Study

Review of foreign exchange risk management capability

The client maintains a single currency ledger which does not capture the distinction between realised and unrealised exchange differences arising from non-functional currency transactions, resulting in an inability to manage FX rate risk. Avantage Reply was engaged to specify and report on the appropriate data capture systems and exposure management engine required to identify and quantify all FX transactional exposures. This report would form the basis for a functional specification used by IT to develop the appropriate systems and processes required to implement an effective FX risk management policy.

Best Practice

European Banking Authority Basel III Monitoring Exercise Results

The Basel III framework is intended to increase the resilience of the banking sector by strengthening the quality and quantity of regulatory capital and setting liquidity standards. The impact of the new requirements is being monitored and evaluated semi-annually on a global level by the Basel Committee on Banking Supervision (BCBS or the “Basel Committee”). At the European level this analysis is conducted by the European Banking Authority (EBA), the successor to the Committee of European Banking Supervisors (CEBS).

Best Practice

CRD 4: Introduction of New Supervisory Reporting Requirements – Liquidity Coverage & Stable Funding

To achieve a high level of harmonisation and convergence in supervisory reporting requirements, the CRD 4 proposal contains specific mandates for the European Banking Authority (“EBA”), requiring it to develop draft Implementing Technical Standards (“ITS”) specific to supervisory reporting requirements. On the 7th June 2012, the EBA published a consultation paper on draft ITS specifically addressing new liquidity coverage requirements, including the stable funding ratio (CP/05).

Best Practice

CRD 4: Introduction of New Supervisory Reporting Requirements - Leverage Ratio

To achieve a high level of harmonisation and convergence in supervisory reporting requirements, the CRD 4 proposal contains specific mandates for the European Banking Authority (“EBA”), requiring it to develop draft Implementing Technical Standards (“ITS”) specific to supervisory reporting requirements. On the 7th June 2012, the EBA published a consultation paper on draft ITS specifically covering the leverage ratio as a new monitoring tool (CP/06).

Best Practice

CRD 4: Introduction of New Supervisory Reporting Requirements (Large Exposures)

To achieve a high level of harmonisation in supervisory reporting requirements, the CRD 4 proposal contains specific mandates for the European Banking Authority (“EBA”), allowing it to develop draft Implementing Technical Standards (“ITS”) specific to supervisory reporting requirements. On the 13 February 2012, the EBA published a consultation paper on draft ITS on reporting of large exposures (CP51).

Best Practice

CRD 4: Introduction of New Regulatory Requirements for the Quality of Tier 1 and 2 Capital

The Basel 3 framework is intended to increase the resilience of the banking sector, amongst others by strengthening the quality and quantity of regulatory capital. In the European Union the proposed Capital Requirements Directive and Capital Requirements Regulation (referred to as “CRD 4” and “CRR 4”, respectively) will implement the Basel 3 requirements from 1 January 2013. The combined CRD/CRR 4 proposal also provides a mandate to the European Banking Authority (“EBA”) to develop binding Regulatory Technical Standards (“RTS”) relating to the quality of Tier 1 and 2 capital, also known as the regulatory capital base (hereafter referred to as “own funds”).

Case Study

Model Development and Validation Governance and Standards

The client initiated a project to define and implement a governance framework for model development and validation, to be applied to credit risk models of its wholesale business. Avantage Reply was engaged by the client to assist with developing the governance framework in the form of a reference handbook of standards to be utilised by stakeholders of the four main stages of the standard model lifecycle; i.e. origination, development, deployment and review. The new framework provided benefits consisting of improved objectivity, consistency, control and transparency throughout the model lifecycle.

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