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Case Studies

Case Study

Data Lineage Roadmap Definition for the Brexit Entity of a Global Investment Bank

FOCUS ON: Case studies, Risk, Finance, Conduct & Compliance,

SUMMARY

The client was the Brexit entity of a global investment bank (i.e. the new entity created within the European Union). Avantage Reply assisted the client in putting together an end-to-end project plan and roadmap covering data lineage for market, credit and liquidity risk to satisfy the BCBS 239 requirements. The focus was on (a) the definition of core data concepts and critical data elements, data quality metrics and KPIs followed by (b) a gap assessment against regulatory requirements and internal standards and finally (c) remediating the gaps.

THE CHALLENGE

The client, a leading global investment bank, wanted to define and capture data lineage for key market risk, credit risk and liquidity risk metrics in order to meet the regulatory requirements stemmed from BCBS 239, MaRisk (i.e. German Minimum Requirements for Risk Management) and the ECB Guide to Internal Models. The key challenges were the definition of a common data lineage template to capture feeds, controls and transformations for market, credit and liquidity risk.

APPROACH AND SOLUTION

Avantage Reply assisted the client in:

  • The definition of a common data lineage template across credit, market and liquidity risk to capture feeds, controls and transformation information.
  • The creation of an end-to-end plan and roadmap for delivery of data lineage requirements.
  • Setting up and running the Working Group and Steering Committee for Reference Data Aggregation for the Brexit entity.

RESULTS AND BENEFITS

The roadmap allowed the client to quickly mobilise the required stakeholders to ensure compliance with the BCBS 239 requirements for data lineage, as well as German-specific regulatory requirements.

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Credit Risk Management

Briefing Note

New Trends In Credit Risk Management: Real-Time Analysis And Data Teams

In Credit Risk management, it is common practice for banks to use financials for assessing the creditworthiness of large and mid-corporates, with the drawback of being outdated by the time the credit review takes place. This paper proposes the use of real-time transactional data to circumvent this issue. This process can be further improved by setting in place teams dedicated to data management and preparation with the benefit of centralising the information used for other purposes, e.g. modelling, loss collection, monitoring, validation.

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