ICAAP validation / Risk models

Duration: 3 months | Start: 07/11/2022 | Location: Paris Intramuros | TJM: €700-€1000

For the Risk Control Department of one of our clients, we are looking for experienced consultants to work on an outsourcing mission for internal validation of risk identification and quantification methodologies within the framework of the ICAAP.

Profiles sought:

• 1 experienced profile (> 6 years of experience) to supervise the system and carry out part of the work, with solid knowledge of ICAAP and ideally experience in the validation/review of risk models.
• 1 experienced consultant (> 3 years of experience) to carry out the work, with solid knowledge/experience in risk models.
• One of the profiles will also be able to handle the review of the material risk identification process.

Mission objectives:

• Independently review the relevant risk scope:
  • the process of identifying material risks
  • methodologies for quantifying these risks
• Issue an independent, complete, documented opinion on the model's compliance with regulations, its relevance, its operation in accordance with expectations, and its results

Scope of the mission:

Risks that fall within the scope of the mission: operational risk, credit risk including concentration risk, interest rate risk / IRRBB, CVA risk.

The scope is reduced on credit risk: part of the review will be carried out internally. For this risk, a challenge is expected in the methodology, documentation and internal review mode to best adapt it to what is expected from an ICAAP internal validation point of view.

Expected service:

This review must cover the assessment of current and future capital adequacy, including in adverse economic scenarios, and with regard to the minimum regulatory capital level (Pillar I and II) and the adequate capital level defined in the Risk Appetite Framework (RAF) and by management bodies in terms of optimal capital structure.

The following aspects must be covered:

• Methodologies: review of the methodologies defined by the 1st line of defense, covering the adequacy of the process, the methodological supports used and the methodological choices, hypotheses and calculation techniques applied. Comparative elements of these methodologies with best practices in the market are expected, leading to the identification of recommendations and/or points for improvement.
• Documentation: review of the quality and completeness of the documentation supporting the models and allowing a third party to understand and reproduce them.
• Data used: review of the quality of the data and databases used.
• Quantitative aspects: review of the quantitative information provided and recalculation to verify that the results obtained by the 1st line of defense are correct
• Qualitative aspects: review of 1st level controls and quality tests of the calculation model, reporting and governance aspects
• Technological environment: review of systems and tools, the IT environment, and the quality of the information provided by the systems.

A questioning of existing information is expected, in particular by obtaining information by conducting specific tests taking into account the risk management system and the specificities and activity profile of the Bank. The review results in the issuance of findings and recommendations aimed at improving the existing situation, as well as a general opinion on the theme of the review.

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If you are not available, WIN €1000 by sponsoring a consultant for this mission! *

(*) 1000€ excluding tax paid into your professional account in the event of placement of the consultant on this mission | provided that it is not already referenced in our databases.