IRRBB models
In order to be ready for the upcoming ICAAP, the IRRBB framework needed improvement
Challenge
The assignment concerned improving the IRRBB framework of LeasePlan Bank in order to be fully prepared for the ICAAP. One of the main challenges concerned incorporating the sensitivity of the customer behaviour in the model risk add-on. Furthermore the NII calculations were improved to be fully in line with regulation.
Approach
The model improvements are based on close cooperation with the client. The client had immense business knowledge which we could leverage on in the assignment. Throughout the assignment various update meetings with the client were conducted which enabled us to keep the client up-to-date regarding the status and to exchange required knowledge.
Result
Combining our knowledge of the IRRBB regulation with the business knowledge of LeasePlan led to the optimal result, which was a fully prepared model for the ICAAP. RiskQuest was able to add value through our knowledge of the EBA IRRBB guidelines and programming the solutions in R.
