A fresh take on risk and valuation

Reviewing the approach to risk assessment and enhancing the overall efficiency of the business

Client

Bank in Belgium

Keywords

Context

Following an initial pre-study, Finalyse consultants were recruited to support and guide an internal team in defining and executing the next phases of the project, with the ultimate target being the implementation of a robust risk model complemented by a compliant RWA calculation approach. 
The original objective of the project was to transit the business line (that is active in the purchase of trade receivables from large corporate clients) from a non-compliant RWA approach to the “top-down” A-IRB approach.


The completion of the project’s initial “gap analysis” phase highlighted that top-down A-IRB could only be achieved in the distant future. Additional internal developments required a change of focus for the project, with priority shifting towards finding a compliant and optimised short-term solution.
In this context, the project evolved into an in-depth regulatory analysis with the objective of identifying a transitional RWA approach that would be optimal given data availability, the nature of the business and the unique structuring features of each portfolio. The focus became the SEC-SA with a deep dive into the broader EU securitisation regulation, while top-down A-IRB remains the long-term target.

Benefits of the provided solution

Thanks to the continuous support of Finalyse consultants as part of an advisory role, the client has achieved a clear understanding of:

Key success factors