06-09-2014 | CASE STUDIES
Risk Impairment Forecasting for UK Bank Divestment

Parker Fitzgerald was engaged by a major UK retail bank to prepare its mortgage business for divestment. The team conducted a rapid build and test of the bank’s retained and divested entity risk impairment forecasting tools, which enabled the bank to obtain an IRB waiver on its divested entity reporting requirements.

Trusted Delivery

  • Risk Impairment Forecasting Tool Development Having recently completed a major upgrade of the bank’s mortgage capital and impairments system, Parker Fitzgerald was engaged to replicate the Risk Impairment Forecasting Tool’s (RIFT) success for the divested bank. The calculation engine was delivered on a robust single platform to provide a reliable and efficient process for month-end calculations.
  • End-to End Delivery Management A robust automated RWA calculation engine was delivered within two months. The Parker Fitzgerald team was responsible for the end-to-end delivery of the solution and its configuration, building, integrating and configuring RIFT with the necessary model adjustments, as well as leading system and unit testing. Capital and Impairment calculations for the future standalone entity were designed to be run in parallel with BAU prior to separation day.
  • Solution Design A robust process was set up to ensure both retained and divested bank versions of the engine were kept in sync and that unnecessary code changes were minimised to prevent inefficiencies in maintenance.
  • Simplified Capital Reporting Requirements As a result of Parker Fitzgerald’s design and delivery of the programme, IRB waiver status was applied for by, and granted to, the divested entity on the basis of the ability to run future capital numbers.

@p_f_g - Parker Fitzgerald