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Case Studies

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Case Study

Brexit Project Management Support and Risk Management Expertise

A US-headquartered G-SIB was looking to build a presence in the Eurozone (“Brexit Entity”) within a short period of time, amongst a great deal of Brexit uncertainty. Avantage Reply provided project management services to support the build-out of the Bank’s risk function enabling it to successfully deliver a highly-complex Brexit programme ready for the original Brexit date of March 2019.

Case Study

Regulatory Reporting Platform Migration

The client is a Private Banking and Asset Management institution headquartered in the Eurozone and present in 9 countries across Europe. The institution is under the direct supervision of the European Central Bank.

Case Study

Wind-Down Plan

Avantage Reply assisted a multi-asset broker, who primarily provides execution, clearing and prime brokerage services, with development of the Wind-Down Plan (WDP), required by the FCA. With a limited amount of time available, a detailed and extensive Wind-Down Plan was developed, following the FCA guidelines and industry best practices.

Case Study

Reverse Stress Test

A multi-asset bank, who primarily provides execution, clearing and prime brokerage services, requested Avantage Reply's assistance with the development of the reverse stress. Avantage Reply provided an expert team to revise and enhance the overall reverse stress testing methodology in time to submit the ICAAP before the regulatory deadline.

Case Study

Recovery Plan Test

Avantage Reply was requested by an international bank to design the crisis scenario, prepare the communication materials and to coordinate the execution of the recovery plan “fire drill”. Avantage Reply proposed an idiosyncratic and system-wide scenario that enabled them to test the formation of the bank's Crisis Management Committee (CMC) and provide concrete suggestions to improve the recovery plan.

Case Study

Data Lineage Roadmap Definition for the Brexit Entity of a Global Investment Bank

Avantage Reply assisted a leading global investment bank in putting together an end-to-end project plan and roadmap covering data lineage for market, credit and liquidity risk to satisfy the BCBS 239 requirements. This allowed the client to quickly mobilise the required stakeholders to ensure compliance.

Case Study

Electronic trading global policy and Governance framework

A major global investment bank requested Avantage Reply to assist in the delivery of a governance framework and global policy for electronic trading. Find out how Avantage Reply aided the client in developing, agreeing upon and embedding a tailored electronic trading governance framework in line with regulatory expectations.

Case Study

IMM, IMA and IRB: Roadmap Delivery for the Brexit Entity of a Global Investment Bank

Avantage Reply used their expertise to help the new Brexit entity of a global investment bank meet the requirements of the Capital Requirements Regulation (CRR). Learn about the challenges faced in developing and embedding the roadmap and the solutions provided.

Case Study

Regulatory Credit Risk Database

Avantage Reply supported an globally operating European investment bank with maintenance and user assistance of the regulatory database used to compute and manage regulatory and accounting figures for the client’s group Common Reporting (CoREP).

Case Study

ICAAP and Capital Management: Remediation plan and roadmap

Following an on-site inspection conducted by the ECB on the Group’s ICAAP and increasing supervisory requirements, the client was looking to establish a remediation plan and design a 2 year roadmap to strenghten their ICAAP and establish a capital management framework in line with market best practices. Avantage Reply was engaged to establish the remediation plan and design the roadmap to adress the findings of ECB’s on-site inspection, to comply with supervisory requirements and to be in line with market practices

Case Study

ICAAP/ILAAP – Gap Analysis and Roadmap

Faced with increasing supervisory expectations, the client mandated Avantage Reply to perform a gap analysis and define a remediation roadmap regarding its capital and liquidity adequacy assessment processes (ICAAP and ILAAP).

Case Study

Independent Model Validation

Avantage Reply was engaged by the independant validation function of a large bank to conduct independant model validation of risk management models, and backtesting reviews on a large scope of credit risk models.

Case Study

Model Risk Management - Reshaping of the independent validation function of financial risk models

Avantage Reply was engaged to assist the client in the reshaping of the independent validation function covering all financial risk models and valuation models, in order to be consistent with a Model Risk Management Framework, using regulatory guidelines, industry best practices and the Internal Audit recommendations.

Case Study

Audit of Market Model Validation function

Avantage Reply was engaged to provide subject matter expertise to the internal audit of the client’s market model validation department. This included the audit of all potential aspects and gaps to a comprehensive model risk management framework, notably the audit of the governance, organisation, policy, methodology and supporting documentation.

Case Study

Pillar II - Credit VaR Model and internal capital allocation

The client was seeking to develop a more risk sensitive measure of credit and concentration risks to address internal steering and regulatory requirements. Avantage Reply assisted the client to design and industrialise a model to evaluate economic capital in line with market practices.

Case Study

SREP Action plan – BMA, ICAAP and Capital Management

In order to improve institutions’ ICAAP framework, the client has requested Avantage Reply to design and implement an action plan focusing on the link between the Business model and the risk profile, risk identification and quantification methodologies and capital management governance.

Case Study

Internal Capital Adequacy Assessment Process (ICAAP) - Design, Implementation, and Steering

Through an extensive experience in SSM ECB SREP, Avantage Reply was engaged to lead and design the ICAAP framework and its key components. It was mandated to steer the overall process implementation and to provide SME support to build the key pieces of the framework.

Case Study

Business Model Analysis and Capital Management Governance

Subject to increasing supervisory requirements, the client was looking to strengthen its internal processes and comply with the annual SSM SREP. Avantage Reply was engaged to help the set up a new capital management governance and conduct a range of dedicated work to strengthen the linkage between the BMA and the ICAAP.

Case Study

LIQUIDITY STRESS TEST FRAMEWORK - DESIGN AND IMPLEMENTATION

Avantage Reply supported a European GSIB with the design and implementation of a liquidity stress testing framework to comply with the Group minimum standards, and integrate outcomes into the liquidity risk management and risk appetite.

Case Study

Pillar II - Modelling credit and concentration risk on the portfolio of a commercial bank

The client was seeking to develop a more risk sensitive measure of credit and concentration risks for internal steering purposes, and to comply with supervisory requirements. Avantage Reply assisted the client to identify the possible methodology options, and to conduct an impact study to estimate the impact on internal capital.

Case Study

Risk Management - Strengthening the Legal Entity Risk Function

Avantage Reply was engaged to strengthen the risk management function across several legal entities of the client. Our client is a global financial services company with a strong presence in the banking sector, including brokerage, custody, fund management and asset servicing businesses.