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PRMIA meeting on Risk Appetite


2014-05-26 00:00:00.0 - 2099-12-31 00:00:00.0

On 26 May 2014 Avantage Reply Netherlands will participate in a PRMIA Netherlands chapter event in Amsterdam on Risk Appetite.

Making Sense of Conduct Risk

Best Practice

As the FCA approaches its first birthday, this paper sets out Avantage Reply’s observations on its approach to date, how firms have responded to the challenge and what can now be considered best practice. In addition it sets out some questions that firms should be asking themselves to ensure that their approach towards Conduct Risk is fit for purpose.

Credit Valuation Adjustment (CVA) Organisational Framework

Best Practice

Credit Valuation Adjustment (“CVA”) is a difference that reflects the market value of the credit risk of a derivatives transaction counterparty. As banks developed their Counterparty Credit Risk (“CCR”) management, accounting rules changes were introduced for CVA. New regulations require additional capital to be held for CVA volatility.

Basel II Credit Risk implementation

Case Study

The client was seeking approval to use the FIRB approach to determine the credit risk regulatory capital charge, and committed to a programme of change to design and implement the required systems, models policies and procedures. Avantage Reply was engaged to support the programme by assisting with project management of key workstreams and delivery of the application pack within the required timeframe.

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

Case Study

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.