Home References Selected projects

Selected projects

SKB Banka d.d. (Société Générale Group), Development of an implementation plan for advanced IRB approach, 2009

ARM cooperated with SKB Banka d.d. (hereinafter only "SKB") on the development of the implementation plan concerning the advanced IRB approach for the calculation of capital requirement for credit risk. Within that scope, ARM conducted workshops with responsible experts at SKB, analyzed the SKB's situation, analyzed processes and procedures, data sources and software applications at SKB. Based on that analysis, ARM developed an implementation plan of the advanced IRB approach including a detailed description of individual steps that need to be adopted, proposal of changes in bank's IT systems, etc. The plan was subsequently discussed and accepted by the National Bank of Slovenia.

Komerční banka, a.s. (Société Générale Group), Development of a local AMA model, 2008

ARM has developed for Komerční banka, a.s. a local internal model for the calculation of expected and unexpected loss (and therefore of the capital requirement) for operational risk and supplied KB with a software application for the calculation of those risks. The internal model is in compliance with requirements of the Decree of CNB no. 123/2007 Coll.

UniCredit Bank Czech Republic, a.s., Validation of data used under AMA approach, 2008

ARM worked together with operational risk management department of UniCredit Bank Czech Republic, a.s. (hereinafter "UCBCZ") on the validation of the internal model of operational risk measuring under the AMA approach, with focus on the quality of internal data and on the collection process of internal events of operational risk. During this validation, ARM has studied the methodology of UCBCZ, which describes how internal events of operational risk are collected (i.e. mainly internal regulations, procedures, risk catalogue) and verified, whether the quality of internal data is sufficient (control of completeness and formal accuracy of records about operational risk events). Subsequently, main priorities were determined for the suggested completion or corrections according to the importance of the mismatch with the internal and external methodology.

Moravia IT, a.s., currency risk management, 2008

ARM was a consultant to Moravia IT, a.s. in the area of currency risk management. The purpose of the project was to identify forms of currency risk and to evaluate its significance and suggest procedures for monitoring, assessment and hedging against currency risk.

Česká spořitelna, a.s. (Erste Group), validation of AMA approach, 2007

ARM validated the internal model of Česká spořitelna, a.s., through which Česká spořitelna, a.s. calculates the capital requirement for operational risk via the AMA approach. During the project, ARM focused on the quality and integrity of data, calculation procedures, technical realization of the calculation but also on quality criteria of the model.

OTP Banka Slovensko, a.s., Consulting services on Pillar 2, 2007

In 2007 ARM provided OTP Banka Slovensko, a.s. with a consulting services on the Pillar 2 implementation. The consulting services covered all aspects of Pillar 2 processes, including stress testing.

Česká spořitelna, a.s. (Erste Group), validation of IRB approach, 2006, 2010

Within the scope of cooperation with  Česká spořitelna, a.s. ARM validated parts of the model for the calculation of capital requirement for credit risk through IRB approach.

The subject of validation was mainly the calculation of risk factors: probability of default - PD, loss given default - LGD and credit conversion factors - CCF. ARM focused on the quality and integrity of input data, suitability of used statictical approches and calculation procedures, but also on technical realization of the calculation and qualitative criteria of the model.

Komerční banka, a.s. (Société Générale Group), Consultancy in the area of implementation of Basel II, 2006

ARM provided KB with comprehensive consultancy services related to the implementation of new regulatory rules of Basel II into the bank's operations. ARM participated in the development of a model for the estimate of LGD, on the development of new or adjustment of current methods and procedures, communication with CNB and assessment of compliance of proposed procedures with requirements of Basel II.

Dexia banka Slovensko a.s., CADCalc^® Market, 2006

Dexia banka Slovensko a.s. implemented our software CADCalc^® Market, which the bank uses for the calculation of market risk through VaR method. The advantage of the software is from the point of view of the bank mainly the method of work with market factors (it is possible to use the rates MID, BID and OFFER), automated import, speed and simplicity of the calculations. The Bank considers the software as very flexible and suitable for use in a financial institution of its type.

ČEZ, a.s., market risk, risk map, credit risk of the customer, 2005 - 2009

The main subject of the cooperation was the amendment and completion of the risk management methodology and of the risk capital model. Within the scope of this cooperation, ARM completed and updated the categorization (map) of risks of ČEZ Group, verified the conception of the risk capital of the Group and in connection with the prior steps it adapted the management documentation in the area of risk management was amended and completed.

Another area of cooperation was the development of a model for credit risk developed by ARM on the grounds of its banking experience. The model determines expected and unexpected loss against credit counterparts among electricity dealers as well end customers.

sanofi-aventis s.r.o. (former SANOFI - SYNTHELABO s.r.o.), preparation of internal regulations, 2004, 2007, 2009

Within the scope of the cooperation with the company sanofi-aventis s.r.o., ARM drafted internal regulations for the area of financial management (e.g. funds management, approval of expenses, advances to suppliers...). The regulations were positively evaluated also by the parent company of sanofi-aventis s.r.o. 

Other projects