Bcbs 239 v4 30 oct

BCBS 239 Risk Data Aggregation:

The data scope is enormous

- where & how to begin?

The Basel Committee on Banking Supervision (BCBS)

has issued Regulation 239; a mandatory requirement for

banks to aggregate risk data and provide

comprehensive reporting.

A significant upgrade of Risk IT and Systems is

imperative

Panoptic & Congruent

Senior management requires a panoptic view of the banks

dataset

To be panoptic the data set needs to demonstrate

congruence.

• Congruent data structures

allow viewing flexibility – any

data request can be satisfied

• Hard coded data solutions do

not allow a panoptic data view

– we want to ask for anything

BCBS 239 compliance requires an

Action Plan

2013-09 How to industrialize business reporting3

G-sib banks must be BCBS 239 compliant by Jan 2016

• The Model DR Action Plan introduces three new concepts

– Industrialisation

– Global language

– Congruent panoply

Model DR does not

provide a bolt on

solution. This is

baking the solution

into your business

Assembling the data is too big a job for one

Project Team

• What is the data set- Assets & Liabilities - multi currency

- Counterparty Credit

- Value at Risk (VAR)

- Derivatives…….

• Data cascades, horizontally and vertically, in multifarious but interconnected hierarchies, across the bank

• One data aggregation model is required, using a common language, to sit over the various internal system architectures

• Model DR provides a congruent, panoptic data view from which data may be aggregated and reports assembled

• Model DR breaks data into atomic elements, providing the tools for flexible restructuring

2013-09 Datapoint modelling and its opportunity 4

Many pieces of data, but a universal

way to view it

Regulatory Demand for Data –

when & what

• Banks cannot predict from what view point regulators may demand reports

and data

• Model DR provides the tools to build a new viewpoint ‘on the fly’

Regulatory scenario - Greece defaults on its bank debt, as Europe slides into

recession. What is exposure to German/ French banks – debt, derivatives,

Greek counterparties?


Aggregation Model

Model DR - congruent panoptic view

Foreign

Currency

Loans

Derivatives SecuritiesCounterparty

credit

Model DR Concept: Industrialization

• Model DR enables banks to open up and examine existing systems by

mapping to the DPM

• The industrialization process automates, provides new tools and makes

systems more accessible

• Each project team is given tools & training

• Progress is measured and project teams are accountable• Are teams following the process correctly

• Are they mapping to the global language

• Are they exposing data in the agreed way

• The industrialization process is too large for one project

management team – instead responsibilities are shared by project

groups

• Data point modelling provides the methodology to reverse and

forward engineer Model DR production design into the global

language


Model DR Concept: The global

language

• FIBO (Finance Industry Business Ontology)

- an industry initiative to define finance industry terms

- provides for data congruence

- facilitates data integration, supports business process automation and enables consolidated views across the financial industry

- driven by Dodd Frank regulatory requirements for improvements in data quality and transparency

- FIBO ontology defines financial terms and concepts without ambiguity

• XBRL (eXtensible Business Reporting Language)

- a business language used by major regulators to standardise financial reporting terms

- XBRL allows universal communication through metadata taxonomies which capture and define financial concepts,

terms & relationships


Model DR Concept : data set must be

congruent to model


• Model DR provides all users with a single, enterprise view of portfolio

risk and exposure. It is not a data warehouse

• Data Point Model (DPM) provides a literal representation of the data,

identifying all the business concepts and relations, as well as validation

rules. It contains all the relevant technical specifications necessary for

developing an IT reporting solution.

The Data Point Model


Value

Value Set

Data point

Aspect

CubeBusiness class

Resource link

ResourceAxis

Axis coord.

Table

The data point meta model

has a dozen main concepts

Cube region

ValueContext

Many 1

Reportable Aspect

X Axis Aspect

X Axis Value Set

X Axis Coordinate Aspect Values

Report name

Y Axis Aspect

Y Axis Value Set Name

Y Axis Coordinate Aspect Values

Reportable Aspect Values

Package name

Example 1: Reverse engineer a report

into a Data Point Model

Business entity

Attribute Adaptors

Adaptors

Class level adaptor

Resources

Class level Aspect

Attribute level Aspects

Attribute level Value Sets

Example 2: Reverse engineer a data

base into a DPM

Example 3: Designing a new viewpoint = wiring up

DPM to DPM (with comparability)


A third DPM

wired together

from 2 existing

DPM

The Model DR product

offering: • Dynamically builds an alternate data viewpoint

• Allows forward and reverse engineering of data in existing system architecture

• Allows universal structuring and data reassembly at an atomic level

• Provides the tools for BCBS strategy development

• TTE -Tooling for industrialization

• TTE -Training : • BCBS specification

• Developing the global language (Meta modelling)

• Designing and building viewpoints (Data Point Modelling)

• Tools usage (reverse engineering, design, forward engineering)

• TTE –Execution: • DPM Hard wire existing systems into a congruent data panopoly


• Model DR is a data design & analysis solution ; not a massive technology play

• Model DR pilot module enables transition towards the larger system architecture decisions

Model DR provides a congruent data set in a universal code ready for

reconciled and validated report generation


Regulation may be the driver but efficiencies will evolve from

a universal language across the big data technology curve

TTE – Tooling, Training, Execution