Stress Test EBA, Credit Risk
FiCoop Consulting assisted a systemic bank on its EBA credit risk Stress Test exercise, through:
- Set-up of the project governance for the EBA credit risk stress test
- Definition of the project roadmap, milestones planning and business constraints
- Design and structuring of the production process including entities contributing to the EBA exercise
- Project management and coordination of different work streams
- Assessment and benchmarking of the bank’s stress test practices and issuance of core recommendations following IFRS9 transition
FRTB Program
FiCoop Consulting accompanied a systemic bank in the framework of its FRTB program, focusing on P&L attribution workstream, including:
- Framing and setting up of the program structure: governance, deliverables, planning, etc.
- Coordinating the impact studies on P&L attribution tests and actively participating in ISDA discussion
- Conducting workshops with Risk, IT and product control teams: business planning, model building and process review in line with regulatory requirements