Finance, Risks and Banking Regulations

Benjamin Scheller

Interview with Benjamin SCHELLER, Senior Business Manager

“I am Senior Business Manager with ALGOFI, in charge of our risk management and banking regulations expertise centre.
We provide support for the risk and financing departments of our major clients in their Information Systems and core activity development and transformation projects. Our service offer covers the whole of the various phases in the cycle of a project. We have built up a number of prestigious references, including Société Générale and the BPCE/ NATIXIS Group (2017).
We have strengthened our operational sales teams to meet the demands of our continuing growth and win new projects.
We have completed around forty missions to date. The consulting team has also been strengthened to a total of thirty consultants. We also provide our staff with professional training and certifications such that we can continue to satisfy our client expectations.
Our ambition is to reach the critical target size of fifty staff-members dedicated to our activity by the end of 2019. This is why we employ new consultants every month. Our client environment prowess and the arrival of new business and regulatory stakes are pushing us to continually invest and be ambitious.”

Clientele:

We provide support for major banking group Risk and Financing Departments

Intervention methods:

Cost-plus or as an expertise centre

Intervention types

  • Project steerage (Project Manager, Project Director, PMO)
  • Business Analysis
  • Operational expertise
  • Core activity support
  • Quantity engineering

Operational scopes:

Banking risks:

  • Market risks (VAR, ST, etc.)
  • Credit / counter-party risks (CVAR, PD, LGD, etc.)
  • Financial risks (Cashflow, etc.)
  • Operational risks

Regulations concerning risk management and banking activities:

  • Basel (PD, LDG
  • FRTB/ EEPE
  • BCBS (Data quality)
  • Third party and securities reference lists
  • Mifid

Banking finance:

  • Accounting standards (IFRS)
  • Regulatory reports (COREP, FINREP, LCR, NSFR, RWA)
  • Accounting-risks reconciliation

Inspection and Compliance:

  • Anti-money laundering
  • Anti-corruption
  • Financing of terrorism
  • Market operations supervision

Project examples

Project Management

As part of their Internal Model project, the certification method for internal models for regulatory capital calculation related to market operation counter-party risks (RWA & RWA CVA)

Completed projects:

  • Value Map, calculation of risk factor exposure sensitivities (for all asset classes), the main objectives of which were:
  • Map out the portfolio counter-party risks in order to analyse exposure its potential development
  • Produce CVA/DVA risk factor sensitivities
  • Prioritise analysis axes for Back-Testing
  • Complete the Stress-Testing process
  • Wrong Way Risk
  • Definition and implementation of cash-flow methodology for assets held by the bank on the pensions and securities loans/borrowing portfolio

Business Analyst with functional expertise

Project: render the client's guarantees chain reliable in terms of post AQR recommendations

Completed projects:

  • Ensure the reporting of the guarantee's available capital amount in order to have access to a credit cover indicator at all times (including an individual provision audit channel):
  • Survey of core activity needs: definition of the guarantee's available capital amount over the loan's life-cycle, completion of a survey of the existing situation within the communities 
  • Mapping of guarantee reporting to the central bases from the local applications (Banques Populaires and Caisses d'Epargnes)
  • Creation of expressed needs documents (recommendations for reporting the guarantee's available capital amount)
  • Supervision of the guarantee reporting reliability works undertaken by the communities: implementation of fine guarantee types, re-affectation of guarantee types, etc.

Quantity risk engineering

Project: Stress EBA 2016 and the stress contribution to the SREP 2016 operation, for the decree issued 31/12/2015 The project involved producing the credit risk impacts to the bank's portfolio in terms of the defined scenarios (EBA / SREP). This included the methods to be used as well as the parameters and results

Completed projects:

  • Support the Credit team in the development and update (re-calibration) of the various quantity modules used to correlate stressed financial and economic variables with the Basel parameters (migrations, PD, LGD)/
  • Produce the corresponding SAS programs
  • Document the models and programs
  • Assist the Credit stress team to assemble and check the impact settings provided to the calculation teams (current portfolio impacts)