Financial services case studies | Avantage Reply Page 10

Case Study

Credit Risk Development Programme

The FSA mandated that our client update its risk models to:
- Bring its estimates of PD. EAD and LGD into line with its peers;
- Replace the "judgmental" basis of the existing models with calibration against empirical loss data;
- Implement a series of controls and supporting tools to remove opportunities for manual error and improve overall data quality of model inputs
Avantage Reply delivered the programme to implement the new model suite, leading the FSA removing the punitive regulatory capital uplifts applied and allowing our client to maintain its AIRB waiver and rebuild its reputation with its regulators.

Case Study

Basel II, Pillar 2 (ICAAP) - Pre-Implementation Analysis

Pillar 2 of the Basel II Accord requires banks to implement an Internal Capital Adequacy Assessment Process (ICAAP). The client engaged Avantage Reply to provide a diagnostic and gap analysis necessary to prepare and plan for the ICAAP methodology, based on existing internal capital and risk management processes currently in place. Avantage Reply provided its findings to the client’s executive committee and group risk function, presenting the client with options and a roadmap for completing an appropriate ICAAP.

Case Study

Basel II, Pillar 2, ICAAP - Diagnostic and Gap Analysis

Pillar 2 of the Basel II Accord requires banks to implement an Internal Capital Adequacy Assessment Process (ICAAP). The client engaged Avantage Reply to provide a diagnostic and gap analysis necessary to prepare and plan for the ICAAP methodology, based on existing internal capital and risk management processes currently in place. Avantage Reply provided its findings to the client’s executive committee, presenting the client with options and a roadmap for completing an appropriate ICAAP, and forming the basis for a change programme to enhance the client’s risk management framework.

Case Study

Credit Risk Control, Improve Risk Management

Following acquisition of a leading retail bank in a different to parent geograhic location, Group Risk Management department of an international banking and financial services group had an urgent requirement for Risk integration. Risk management policies and procedures of newly acquired entity had to be aligned with the Group whilst the entity’s Corporate and Retail risk profile had to be easily accessible to all relevant stakeholders across the Group. Avantage Reply was engaged to support the client in Risk integration activities, including analysis of current risk policies in the newly acquired entity, planning and execution of change activities leading to their alignment to the Group, design and implementation of an intranet based Risk dashboard and associated business processes linking client facing and support functions.

Case Study

Basel II, Pillar 2 (ICAAP) - Development and Execution

The client was requested by the FSA to produce their approach to ICAAP at short notice. Given the aggressive timeframe involved, the client engaged Avantage Reply to accelerate delivery of the project, as well as provide expertise in ensuring the ICAAP approach would be sufficiently robust to withstand critique from the FSA,the client’s parent and its regulators. Avantage Reply delivered a robust ICAAP approach that was accepted by the FSA. Required actions were also identified for the client to deliver the agreed ‘future state’ reflecting the FSA’s key ICAAP requirements, and stakeholder buy-in was obtained for these actions.

Case Study

Credit Risk Control

The client’s Credit Risk Control (CRC) Change function could not cope with the scope and pace of change being demanded by Front Office functions, to a point where the CRC Change function was seen to constrain the ability to do business. The client engaged Avantage Reply to aid in restoring confidence from the Front Office in the CRC Change function by prioritising a short-term delivery programme whilst working to a strategic vision of transforming the CRC Change function team. Avantage Reply provided day-to-day support to management of the CRC Change function to reshape and refocus the team; confidence from the Front Office has been restored through delivery of quality results.

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 2 Credit Risk data integration / Common Reference Data implementation

The client initially requested Avantage Reply to develop an approach to integrate data from a wide range of source systems to provide inputs for the third-party RWA calculation tool required under the Basel 2 Advanced IRB method. Avantage Reply identified as as a critical issue a lack of reference data standardisation and governance across the organisation, and escalated the issue to the Basel 2 programme manager to secure additional budget for its resolution. The common reference data framework, data integration toolset and associated standard input and output data interfaces developed by Avantage Reply were adopted and successfully implemented by the client, not only within but also outside the original Basel 2 credit risk arena.

Case Study

Basel II Credit Risk Mitigation Policy

The client initially requested Avantage Reply to develop an approach to integrate data from a wide range of source systems to provide inputs for the third-party RWA calculation tool required under the Basel 2 Advanced IRB method. Avantage Reply identified as as a critical issue a lack of reference data standardisation and governance across the organisation, and escalated the issue to the Basel 2 programme manager to secure additional budget for its resolution. The common reference data framework, data integration toolset and associated standard input and output data interfaces developed by Avantage Reply were adopted and successfully implemented by the client, not only within but also outside the original Basel 2 credit risk arena.

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