Retail Bank

Running a RWA optimisation programme

When a leading Investment Bank wanted to kick off a RWA optimisation programme for efficiencies for capital requirements they wanted a partner that understood the challenges from a regulatory and model risk standpoint and could understand the key challenges ahead for such a programme

The Ask

Deliver a Global Model Risk programme for PD, LGD and EAD Wholesale Credit Risk models to delivery efficiencies in RWA ensuring adherence to and alignment with a reporting submission strategy globally for PRA, OSFI, HKMA, ECB, BaFin, Federal Reserve Bank and the OCC

The Solution

We helped mobilise a team and programme including governance in line with the clients Transformation framework ensuring alignment with Data Programme and Strategic Architecture initiatives. We helped define the programme ToR for SteerCo and host monthly SteerCo meetings with key business stakeholders as well as providing management and oversight of virtual resource pool consisting of Quant Analysts, Model Developer’s, Model Validation SME’s, Business Analysts, PM’s, PMO and additional oversight of Risk IT, Finance and offshore Implementation teams

The Outcome

Achieved significant £M capital requirements savings (reduced RWA’S) across portfolio with optimized delivery of new PD, LGD and EAD models.