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Case studies

Case Study

Risk Support

Avantage Reply provided support to the Risk department of a custodian bank that operates at an international level. The goal was to help with the completion of the department’s daily tasks and any upcoming projects

Case Study

Risk Management Support

The client began a project to switch to a new core banking system and aimed to complete this transition quickly with minimal impact on their daily processes and duties.

Case Study

Internal Audit of the Recovery Plan

The client, an independent and privately-owned banking group which provides private banking services, wanted an external expert to support their internal audit team. In particular, the client wanted to review and provide assurance that their Group Recovery Plan is in line with the latest regulatory requirements and best market practices.

Case Study

Standardized Approach for Counterparty Credit Risk

The client, a major banking group offering a broad range of financial products and services such as bilateral loans, trade financing and derivative products to corporate and institutional clients, required assistance with calculating the capital requirements for counterparty credit risk under the new standardized approach.

Case Study

Compliance Support

Avantage Reply supported the Compliance department of an internationally operating Private Bank / Financial Services Company in moving its European headquarters between countries. This involved PMO support, regulatory analysis and assessment of the Bank’s Compliance functions across several locations in the Eurozone, the UK and other European countries.

Case Study

Recovery Planning under ECB supervision

The client, an ECB-supervised bank, is required to maintain and update their Recovery Plan regularly. In this context, the client requested the assistance of Avantage Reply, to assist the bank in the production of its Group Recovery Plan.

Case Study

Enhancement of the Group’s ICAAP Framework

Avantage Reply undertook a project to assist an international banking group in enhancing its Internal Capital Adequacy Assessment Process (ICAAP) framework in alignment with best banking practices.

Case Study

ICAAP/ILAAP Reports Update and Enhancement

Avantage Reply assisted a client with their objective to produce two regulatory reports namely the Internal Capital Adequacy Assessment Process (‘ICAAP’) and the Internal Liquidity Adequacy Assessment Process (‘ILAAP’).

Case Study

Regulatory Reporting Support

In the context of transferring banking activities to another partner, the bank (the client) must comply with European banking authority (EBA) reporting requirements. The bank is required to produce regulatory reporting on a monthly and quarterly basis (i.e., COREP, FINREP etc.) Avantage Reply was engaged to provide support and expertise to generate regulatory reporting.

Case Study

ILAAP Internal Audit Support

Avantage Reply assisted the internal audit department of a leading private bank in the Eurozone, a less significant institution (LSI) that is part of an international group.

Case Study

Support to Risk Management: Risk monitoring tool migration

The client is a large multinational asset management company. The customer needed assistance on the migration of its risk monitoring tool (from RiskMetrics to Aladdin Risk). Avantage Reply supported the client on the risk monitoring tool migration as Project Manager, leveraging on industry knowledge and internal know-how.

Case Study

Liquidity & Interest Rate Risk Assessment on Complex Financing Structures

Avantage Reply assisted a well-known universal bank in the Eurozone to analyze, assess and document the potential liquidity and interest rate risks related to complex financing structures. The tailor-made financing solutions are important for more sophisticated clients, mostly corporations with precise financial needs, and aim at financing them via term loans, leasing, liquidity raising, securitization or short-term investments.

Case Study

National Central Bank Reporting Support

Avantage Reply assisted the finance department of a well-known bank in updating its process to produce monthly and quarterly statistical reporting for the Nation’s Central Bank, following the publication of the updated guidelines. This guideline modifies the statistical reporting requirements for credit institutions

Case Study

Recovery Plan Update

The client, a subsidiary of a leading bank, is required to maintain and update their Recovery Plan on the regular basis. Given internal resource limitations along with new requirements, the client required an assistance in the review and update of the plan. Avantage Reply provided a recovery plan expert who 1) updated the plan according to the latest regulatory requirements and 2) integrated the recommendations received from the internal audit function as well as the national regulator.

Case Study

Support with Credit Risk Regulatory Inspection

The client, a European-based leading bank in online financial services that offers state-of-the-art solutions to meet investment needs, required support from Avantage Reply on the preparation of a regulatory inspection for Credit risk and IT-related topics.

Case Study

Finance Function Support

Avantage Reply supported the Finance department of an internationally operating custodian bank in their daily and monthly production of internal and regulatory reports, as well as other routine activities. The client was handling a large project, the complexity of which had to be managed, while simultaneously completing all regularly occurring tasks to the highest possible standard without any disruption.

Case Study

Supporting daily ALM activity and reporting

Avantage Reply assisted a Finance department of a well-known private bank in daily activity and reporting production of the Assets and Liabilities Management team. The key tasks were assist the team in the improvement and preparation of the Internal Liquidity Adequacy Assessment Process (ILAAP), advise on the regulatory requirements and contribute to the implementation of local.

Case Study

Testing of liquidity regulatory reporting in light of the new BO system

Avantage Reply assisted a Finance department of a well-known private bank in the connectivity test phase within back office tool migration. The project covered a wide range of activities such as conducting multiple User Acceptance Tests (UAT) with on-shore teams, verify the impact of the change on regulatory reporting.

Case Study

Finance reporting support

Avantage Reply assisted a Finance department of a well-known private bank in daily and monthly reporting production related to liquidity. The key tasks were: produce and certify various regulatory reports, such as LCR, AMT, NSFR incl. contributions to group consolidated reports; produce and certify integral liquidity reports based on inputs from various business line.

Case Study

AnaCredit – Data remediation Activity

Avantage Reply assisted a Finance department of a well-known private bank in daily and monthly reporting production related to liquidity. The key tasks were: Produce and certify various regulatory reports, such as LCR, AMT, NSFR incl. contributions to group consolidated reports; produce and certify integral liquidity reports based on inputs from various business lines...

Case Study

Single Supervisory Mechanism (SSM) Transition

The regulatory classification of banking institutions, concerning their competent authority, is an important aspect that determines a lot about their regulatory obligations. Based on several criteria, a bank may be deemed significant.

White Paper

EBA’S NEW REQUIREMENTS ON CSRBB MANAGEMENT

On 20 October 2022, the European Banking Authority (EBA)published new regulatory requirements on Interest Rate Risk and Credit Spread Risk in the Banking Book (IRRBB / CSRBB) aiming to finalise the implementation of Basel III requirements (BCBS368, Guidelines on IRRBB) in the European Union.

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...

Case Study

Migration to new accounting and operations system

Avantage Reply assisted a Finance department of a well-known Private Bank in preparations to migrate to a new accounting and operations system. The project covered a wide range of activities such as..

Case Study

Pillar 3 gap analysis

The client, a major banking group specialised in the provision of online banking and trading services, was required by its national competent authority to update its Pillar 3 report for the year-end 2020. In this context, the client asked Avantage Reply to perform a gap analysis of its 2019 Pillar 3 report against regulatory requirements in order to be able to provide the national supervisor with a fully compliant 2020 Pillar 3 report.

Case Study

Anti–Money Laundering (AML) Remediation Program – Banking & Finance Industry

Avantage Reply began in January 2022 to support an important European universal bank to efficiently implement an AML remedial plan imposed by the local supervisory authority.

Case Study

Credit Risk Support in Core Banking System Transformation

The project involved a wide range of stakeholders from various business areas of the bank as well as a vast scope of regulatory topics. Therefore, one of the main challenges was to engage the key stakeholders in key processes and ensure their project expectations are successfully met.

Case Study

Implementation of a centralised Finance & Risk database

The aim was to set up a unique database containing all Finance and Risk data used for regulatory calculations and reporting. Avantage Reply also helped the customer in the replacement of outdated tools, provided experts from the field as well as monitored the progress of the project.

Case Study

Market Infrastructure Remediation

Following the strategic decision to move the European headquarters from one Member state to another, the Bank decided to review and re-evaluate its compliance with the MiFIR/EMIR regulatory requirements. Several gaps were identified which required immediate remediation before going under the supervision of a new national competent authority. Avantage Reply was chosen to support the Bank in the remediation efforts.

Case Study

Risk regulatory production support

After the release of the Revised Capital Requirement Regulation (CRR 2) in Q2 2021, the client needed support during regulatory production exercises for the selected perimeters. Moreover, off regulatory production periods, the client required a business analyst to coordinate with IT teams to provide requirements in order to automate some of the reporting templates.

Case Study

CRR 2 implementation

Avantage Reply assisted a well-known Private Bank in the Eurozone in the transition to the new regulatory reporting requirements into force from June 2021, i.e. Capital Requirements Regulation 2 / CRR 2.

Case Study

Data automation flows migration & data quality framework setup

Avantage Reply assisted a large European bank to migrate data automation flows on Dataiku, a modern data platform. It has allowed the bank to disengage from its former platform which has become too expensive and less efficient.

Case Study

Middle Office Case Study: Effecting Compliance in a Debt Finance Middle Office Function

Avantage Reply was engaged by a Tier 1 Bank in a high-priority risk compliance initiative for the Corporate and Investment Bank (the “Bank” or “Client”). The Client’s Middle Office (“MO”) risk management team is responsible for the evaluation of the structured finance (“SF").

Case Study

Economic Capital Models for Credit Risk Measurement

Avantage Reply assisted a retail bank in review of current models used for the measurement of economic capital needs to cover the risks in credit portfolio. The current models being based on the Risk-Adjusted Capital Framework Methodology, the goal was to assess whether other methodologies would be better suited, what constraints would apply to alternative methods and how to integrate concentration risks and credit pricing into the model.

Case Study

ILAAP Support

Following the Supervisory Review and Evaluation Process (SREP), the bank received a letter from the Banque Centrale du Luxembourg (BCL) highlighting a number of findings and recommendations concerning its liquidity risk management framework. The bank was asked to address these recommendations as part of its submission of the 2021 Internal Liquidity Adequacy Assessment Process (ILAAP).

Case Study

Risk and treasury processes automation

Following recommendations from Banque Centrale du Luxembourg (BCL) as well as the findings raised by its internal auditor, the bank wished to automate several operational and regulatory processes conducted by the Risk and Treasury departments.

Case Study

Pillar 3 Support

In the context of Pillar 3 on public disclosure requirements and with the implementation of the regulation known as CRR 2, the bank is required to produce and publish every year a Pillar 3 report (annual and semi-annual versions). Avantage Reply was engaged to provide support and expertise in the Pillar 3 and CRR 2 regulatory requirements implementation.

Case Study

Finance & Risk referential

Avantage Reply supported a large European bank in (re)writing operational and regulatory Risk reports by respecting the principles for effective data aggregation and reporting with regards to BCBS 239 guidelines.

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.

Case Study

Covid moratorium impact on Treasury reporting production process

The client, a financial institution of a major French banking group, is specialized in providing leasing solutions. The client helps in structuring the funding of heavy machines manufacturer’ clients with whom the bank has a specific partnership.

Case Study

CRR2 Support

The client, an international central securities depository, required assistance in the transition to the new regulatory reporting requirements (i.e. Capital Requirements Regulation 2 / CRR2) coming into force in June 2021. In particular, the reporting function needed support on the following topics.

Case Study

Internal Liquidity Assessment Process (ILAAP) Reporting

The engagement was a continuation of the liquidity risk management support Avantage Reply had completed previously for the client, a marketplace organiser for the trading of shares and other securities. Upon completion of an Internal Liquidity Assessment Process (ILAAP) Handbook, which outlined how the ILAAP report should be built across the Group, Avantage Reply was tasked with the development of the first, stand-alone ILAAP report of the institution.

Case Study

Internal Audit Support – Liquidity Risk Management

Avantage Reply assisted the internal audit department of a leading Private Bank in the Eurozone, a less significant institution (LSI) that is part of an international group. Following the supervisory review and evaluation process (SREP), the bank received a letter from the respective national Central Bank highlighting a number of weaknesses concerning its liquidity risk management framework and outlining a number of recommendations the bank needed to implement. The bank submitted a response to the competent supervisory authority committing to implement these recommendations in advance of its submission of the 2020 Internal Liquidity Adequacy Assessment Process (ILAAP). After the bank’s internal remediation and implementation, the bank requested assistance from outside experts in liquidity risk management to support the internal audit function in the review and confirmation that the required enhancements, as outlined in the letter, were implemented to satisfactory standards.

Case Study

Implementing capabilities of Data Governance

Avantage Reply assisted a local universal bank with the effective implementation of data governance capabilities. As part of a broader initiative to ensure the bank’s compliance with BCBS 239 principles, our client needed to document the key source data related to credit risk and ALM calculation tools. Additionally, there was a need to define, implement and run processes allowing remediation of data quality-related issues.