BCBS 239 Compliance - Risk Data Aggregation and Risk Reporting Framework

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Overview of BCBS 239

  • Brief history and scope of the regulation
  • Lessons learned from the Global Financial Crisis
  • Overview of the principles
  • Relationship with other regulatory developments
    • Basel III, IFRS 9
    • ECB's AnaCredit
  • Benchmarks and Best Practices
    • BCBS 239 Project set-up
    • Risk Data Governance
    • Data Architecture

12.00 - 13.00 Lunch

13.00 - 16.30 The Completeness Principle

  • What is a complete risk report?
  • Risk, the bank's balance sheet and risk-adjusted performance measurement
  • Framework for risk measurement: baseline and scenario generation
    • Credit Risk
    • Market Risk
    • Operational Risk & Operational Costs
    • Funding and Liquidity Risk
    • Other risk types
  • Calculation examples and details on risk-adjusted performance measures
    • Gross Income
    • Gross & Net Margins
    • Contribution Margins
    • Risk-adjusted ROI
  • Example reports and Q&A

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 The Accuracy and Integrity Principle

  • How to assess data accuracy?
    • Data-driven accuracy KPIs
    • Sample analysis approach
    • Stress test approach
  • How to improve data quality?
    • Handling dimensional hierarchies
    • Case Study: robust improvement of customer address (location) data
    • Handling portfolio segmentations
    • Case Study: optimal portfolio segments for the IFRS 9 Impairment Model.

12.00 - 13.00 Lunch

13.00 - 16.30

The Adaptability Principle

  • Best Practices illustrated
    • Overcoming the data silo problem
    • Reporting automation
    • On-demand and ad-hoc risk management reports
  • Exercises and Q&A

Other Principles: Timeliness, Clarity, Usability

  • Which innovative technologies might prove to be helpful?
    • Large-scale scenario simulations on cloud infrastructure
    • Fast, adaptable model development environments
    • Big Data or Right Data?
    • Data-driven, interactive web-based documents

The BCBS 239 Principles taken together

  • Framework for Risk Data Governance
    • Data Architecture revisited
    • Risk Taxonomies revisited
    • Process Ownership and Quality Control revisited

Evaluation and Termination of the Seminar

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