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BCBS 239 Compliance - Risk Data Aggregation and Risk Reporting Framework
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
Benchmarks and Best Practices
BCBS 239 Project set-up
Risk Data Governance
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
Operational Risk & Operational Costs
Funding and Liquidity Risk
Other risk types
Calculation examples and details on risk-adjusted performance measures
Gross & Net Margins
Example reports and Q&A
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
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
Back to Seminar Overview
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