Assisted a Canadian bank with establishing a best-in-class Internal Capital Adequacy Assessment Process (ICAAP) governance program that ensured that economic capital was accurately determined and that the bank had the right governance and evidence in place to comply with all regulatory requirements.  As part of the engagement PWR helped write the ICAAP Handbook documenting the entire process for generating Economic Capital for the bank.  This included documenting transaction and process flows, internal controls, economic capital models and stress testing for all products and channels.

Helped a large Provincially regulated F/I to become OSFI ready by enhancing their governance, risk and compliance programs to bring them into line with OSFI expectations and issued guidelines.

Assisted a Federal government commercial lending institution to enhance its stress testing and model governance framework including drafting the appropriate policies and establishing oversight for the function and the separation between model development, vetting and validation activities.

Developed and implemented a Model Governance program for a large Schedule 1 Bank in Canada that ensured compliance with the Office of the Comptroller of the Currency OCC 2011-12 Guidance on Model Risk Management and the associated OSFI guidance.  This included writing model governance and life cycle policies and procedures and separating the model development vetting and validation functions within the bank and maintaining all necessary documentary evidence of compliance. In addition, a model inventory was developed that helped identify and document material models throughout the organization.

Helped draft and operationalize a Risk Appetite Statement for a large Canadian Securities clearer.

Established and rolled out a new RCSA program for a major Canadian Security Clearer that included assessing the inherent risks in all business lines, the key controls mitigating the risk, a final assessment of the net residual risks and a comparison of the net residual risks to the Risk Appetite Statement approved by the Board.  The program also developed the related Key Risk and Key Performance Indicators.

Performed a review of the operations of a Canadian Trust company to assess the risks inherent in the business and the associated returns generated by the various business lines. The purpose of the review was to identify opportunities for growth within the approved trust activities and maximize the risk reward relationship for the organization.

Developed a market risk data model for a large Cdn. bank that documented every data element necessary for pricing all traded securities.  Considerable savings were identified  by consolidating the data purchase and storage costs and standardizing the data definitions and model development.

Analyzed the existing Market Risk Policies for a large schedule 1 Canadian Bank and rewrote the policies covering Independent Price Valuation (IPV) and Valuation Adjustment (VA) Policies.  The new framework ensured that all traded securities were properly valued at all times.