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

SUMMARY

The client was the Brexit entity of a global investment bank (i.e. the new entity created within the European Union). Avantage Reply assisted the client in the development of a plan for delivery of the Internal Model Method (“IMM”), Internal Model Approach (“IMA”) and Internal Ratings Based (“IRB”) model roadmaps for the new Brexit entity, working closely with Risk Analytics, Model Risk, Risk Managers, Finance, IT, Middle Office and senior management.

THE CHALLENGE

The client, a leading global investment bank, wanted to define an end-to-end roadmap of delivery of requirements for its IMM, IMA and IRB permissions, in order to meet regulatory requirements of the German regulator to satisfy capital model permissions. This required satisfying the requirements stemming from the Capital Requirements Regulation (“CRR”) for the client’s Brexit entity.

APPROACH AND SOLUTION

Avantage Reply assisted the client in:

• The development of a plan for delivery of the IMM, IMA and IRB roadmaps for the new Brexit entity, working closely with Risk Analytics, Model Risk, Risk Managers, Finance, IT, Middle Office and senior management;
• Providing review, challenge and SME input on model documentation sent to the German regulator;
• Running the Model Application, Validation and Governance Working Group

RESULTS AND BENEFITS

The roadmap was developed and embedded, allowing the client to resource and quickly start work on IMM, IMA and IRB models permissions while in a period of competing priorities.