Beruflich Dokumente
Kultur Dokumente
Regulatory Compliance
There are multiple compliance challenges facing Financial Institutions
It is imperative that there is as much reuse as possible in the underlying IT Infrastructure. This is especially the case in terms of data consolidation and reporting requirements.
Basel II
International accord for the handling of risk & capital adequacy Requires the collection of 7 years of data Focuses on credit and operational risk Specifies need for supervisory control Reporting guidelines defined Serbian Compliance 2011
Corporate Governance
Systems Control Effectiveness Decision Support Evaluation Clarity of Financial Reporting Internal Control Assessments/ Reviews & Governance Financial Reporting Disclosure legislation in force in many countries, e.g. Sarbanes Oxley Act (SOA)
BDW Overview
Basel II Background
What is The Basel II Accord? A complex new standard for capital adequacy published by Bank of International Settlements Aimed at international banks and other financial institutions To promote safety and soundness in the financial system To align regulatory capital requirements more closely with underlying risks To offer incentives for institutions to pursue more sophisticated & effective risk management
EU Active Serbia
CP 3
New Accord
QIS 3 Oct 02
Dec 02
May 03
July 03
June 04
Jan 06
Dec 06/07
Jul 08
2011
Commercial imperative
Key strategic decisions need to be taken now on the approach to be taken and the benefit that should be achieved over and above compliance
BDW Overview
Basel II Opportunities:
Improve shareholder value Economic capital savings Improve/maintain credit rating Improve risk management strategy Alignment of Risk & Finance Improve MIS in other areas Cost reduction through organizational realignment & process improvement Identify potentially dangerous portfolio positions and other risk sources
Basel II Challenges:
Strategic positioning Setting up Basel II programme Risk Framework Systems & data management
Organisations should think of Basel II as a springboard to competitive advantage rather than What is the minimum I need to do to comply
BDW Overview 2008 IBM Corporation
8%
Risk-Weighted Assets For Credit Risk
+(
)*
12.5
Standardized Basic Indicator Standardized Foundation IRB Standardized Internal Models Advanced IRB Alternative Standardized Securitization Framework Advanced Measurement
BDW Overview
Finance Systems
Efficiency and functionality of financial systems GL strategy and financial reporting systems (IFRS, COREP)
BDW Overview
IFW FOUNDATION
Enterprise-wide specification for data marts and the enterprise data warehouse
Detailed analysis of business processes. Comprehensive basis for process improvement and simplification
Data Warehouse
BDW Overview
Analysis and design of reusable services. Enterprise wide specification and design for software components and services oriented architectures
3. Document end user requirements as a project scoping mechanism - what do we need to build first - designed using business terminology - user/project specific terminology 4. Document risk parameter/regulatory disclosure requirements as another method of project scoping - designed using risk terminology
Requirements
Supporting
BDW Overview
Design Model
Requirements
Supporting
BDW Overview
Design Model
Requirements
Supporting
BDW Overview 2008 IBM Corporation
Buyer
A consolidated, definitive and single reference of truth AND highly structured and navigatable
BDW Overview 2008 IBM Corporation
BDW Overview
Relationship
How it relates to the rest of the concept data? e.g Individual lives at a Location
BDW Overview
BDW Overview
For example, one system refers to Customer Life Cycle Status as {Pending, Active, Suspended, Inactive} Another system uses {Proposed, Rejected, Live, Dormant, Former} Another may only care that the customer is Active or Inactive. It is difficult for a business co-ordinating communication Conceptual between these application to determine any overlap and a common status of the data. Mapping to the Conceptual model will document the super-set of statuses with clear & full business descriptions.
System 1 Pending Active Suspended Inactive
Conceptual
Potential Prospective Declined Rejected Active Dormant Former
ForEx
Credit Card
Portfolio Mngmt Other Apps
BDW Overview
Design Model
Requirements
Supporting
BDW Overview 2008 IBM Corporation
Incorrect Reporting
What is my consolidated Risk & Finance position? Have risk management decisions No had an impact on our customer Consolidated High relationships? View of data What impact have our compliance challenges had on our annual profitability? . . Slow Report Creation . Duplication . of Work . .
BDW Overview 2008 IBM Corporation
Maintenance Costs
Risk Applications
Compliance
BDW Overview
Enterprise Wide information with full history Consistent reporting & common data definition Extensible solution for phased projects Reuse of extracts from operational sources Reduced load on operational sources Cost Effective Reporting Support all types of Sources & Reporting Apps
Relationship Management
Profitability
Potential to reuse existing data marts /reports or facilitates re-design 2008 IBM Corporation
The model of the business data including how the data relates to each other and restrictions on the relationships The key data concepts from the Conceptual Model are expanded to capture this relationship information
Soid line indicates a mandatory relationship e.g. there must be an Involved Party associated with this relationship
Involved Party Initiates Arrangement:An Involved Party can directly initiate a relationship but this is a non-mandatory relationship e.g. an Arrangement doesnt have to have an initiating IP. Arrangement / Involved Party Rltnp:An Involved Party can be involved with many Arrangements and an Arrangement can have many associated Involved Parties.
Broken line indicates a non-mandotry relationship e.g. An Involved Party MAY initiate an Arrangement Circular notation indicates a recursive relationship e.g. an Arrangement can contain other Arrangements
This notation indicates conditions on the relationship e.g if zero, one or more(0, -, <) of these relationships can exist for the combination of the specific Involved Party and Arrangement.
The 3 entities above are an example of the 1057 currently modeled in 8.0. There are also 1400 relationships in the full model
2008 IBM Corporation
BDW Overview
BDW Overview
Full Enterprise Data Warehouse Design covering all atomic data for Basel II
Support historical analysis for valuation exposure, management of positions, etc. Financial Instrument support including Corporate Finance, Treasury, Financial Market, Asset Securitization, Tranches, Credit Derivatives, Credit Defaults, etc. Rating Scales including ECAI, rating substitution on guarantor, issues, and risk management categories; e.g. Sovereigns, Public Sector Entities (PSE), Banks, etc... Rating models, value at risk, assessments, valuations, loss events, credit risk mitigation, structure of capital and regulatory capital, RWA, PD, LGD, EAD, EL, M, etc. Counterparties, Guarantor, Rating Agencies, Assets, Exposures, Non-Performing Loans, Losses, Write-offs, recoveries, provisioning, Collateral, Securities, Guarantee, Funds, Holdings, Netting Agreements, etc. Credit Risk (all BII approaches), Market & Operational Risk and support for Pillar 2 Concentration Risk, Interest Rate Risk, Reputation Risk, Systemic Risk, etc.
Predefined summary structures to store information for Basel II purposes e.g. Credit Risk Portfolio, Customer, Organization, Asset Securitization, Securitization Tranche, Netting Agreement, etc.
BDW Overview 2008 IBM Corporation
Design Model
Requirements
Supporting
BDW Overview 2008 IBM Corporation
Allows business to define their requirements using their own terminology Allows IT to map those requirements to the design model 97 out of the box templates for fast start to document disclosures for Basel, IFRS, Profitability, Relationship Marketing, etc. Permanent project documentation Facilitates re-use of solutions & phased growth of the data warehouse
BDW Overview
How are the BSTs designed? How are the Requirements designed?
Basel II example, the market discipline disclosure requirements for Credit Risk Mitigation.
Measures
Total Collateralized Exposure Amt After Netting Total Exposure Amount Guarantee Or Derivative Exposure Amt Collateralized By Eligible Financial Collateral Exposure Amt Collateralized By IRB Collateral
Dimensions
Credit Risk Mitigation Type Portfolio Type Portfolio Arrangement Credit Risk Category
BDW Overview
Profitability
Risk
Compliance
Operational Risk Assessment Authority Profiling Insurance Risk Profile Operational Risk Loss Analysis Collections Analysis Interest Rate Risk Analysis Outstandings Analysis Credit Risk Analysis Involved Party Exposure Portfolio Credit Exposure Credit Risk Assessment Liquidity Risk Securitization Analysis Credit Risk Mitigation Assessment Location Exposure Security Analysis Customer Credit Risk Profile Non Performing Loan Value At Risk Analysis Debt Restructuring Capital Allocation Analysis Financial Market Transaction Net Interest Margin Variance Capital Procurement Position Analysis Funds Maturity Analysis Credit Loss Allowance High Value Outward Payments Short Term Funding Mgmt Equity Position Exposure Structured Finance Analysis Income Analysis Financial Management Accounting Interest Rate Sensitivity VWAP Analysis Liquidity Analysis Cash Flow Indirect Analysis SOX Analysis Balance Sheet Classified Cash Flow Indirect Financial SOX Balance Sheet Analysis Approach Analysis Institution Analysis SOX Cash Flow Analysis Balance Sheet Net Assets European Central Bank SOX Statement Of Change In Approach Analysis Reporting Shareholders' Equity Balance Sheet Order Of Liquidity Financial Capital Adequacy SOX Statement Of Income Approach Analysis Foreign Financial Account Statement Of Changes In Equity Balance Sheet Portfolio Basis Income Statement By Function Structure Of Regulatory Capital Approach Analysis Income Statement By Nature Suspicious Activity Analysis Best Execution Analysis Income Statement Financial Transaction Activity Analysis Cash Flow Direct Analysis Cash Flow Direct Financial Institution Institution Approach 2008 IBM Corporation
BDW Overview
C3
R3
Capital
Risk Exposure & Assessment
BDW Overview
Design Model
Requirements
Supporting
BDW Overview 2008 IBM Corporation
The BDW supports the definition of regulatory XSD documents e.g. IFRS
XML Schema
XML Schema
1Title 2Category
transfer information
3Owner
Author
BDW Overview
Each data element is linked to the BDW Conceptual and Design models to show where the parameter information can be retrieved and results can be stored. The Supporting models are designed to be customized for the particular customer applications
Conceptual
Supporting
Design
BDW Overview
Standards
Enterprise Payments Platform EPP Financial Markets (FM) IAS Measurement MISMO EMortgage
IFRS
Balance Sheet Classified Approach Balance Sheet Net Assets Approach Balance Sheet Order of Liquidity Approach Balance Sheet Portfolio Basis Approach Cash Flow Direct Cash Flow Direct Financial Insitution Cash Flow Indirect Cash Flow Indirect Financial Institution Income Statement By Function Income Statement By Nature Income Statement FI Approach Statement of Changes in Equity
BDW Overview
Project approach supports: Priorititised development Faster Implementation Focused Solutions Team Development Historic project records & documentation REUSE
Product Involved Party Arrangement PD Rating
Requirements
Project 2: Risk Assessment: Probability Of Default Supporting
Gaurantor Asset Class Eligible Collateral
Resource Item
BDW Overview
AML
Anti Money Laundering / Fraud
BDW
Integrated Data Design Reuse of data elements Fully extandable for future requirements
RWA
Risk Weighted Assets
MiFID
Markets In Financial Instrument Directive
KYC
Know Your Customer
KPI
Key Performance Indicators
EPP
Enterprise Payments Platform
SEPA
Single European Payments Area
CRM
Customer Relationship Marketing
SOX
Sarbanes Oxley Act
MISMO
Mortgages Industry Standards Maintenance Organization
ALM
Asset & Liability Management
BDW Overview