London Financial Modelling Group 2015 04 30 - Model driven solutions to BCBS239

Regulation BCBS239Model driven solutions

My co-ordinates

• LinkedIn: Greg Soulsby• Twitter: #model_dr• Email: [email protected]

You will learn how to:

• Show your management team how data architecture helps meet BCBS239 using his “BCSB239 Model driven solutions checklist” tool.

• Demonstrate compliance to each of the principles by re-purposing your information architecture

• Meet the obligations more efficiently by leveraging FIBO and semantic technology

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Deutsche Bank Libor fine: Seven crazy things traders said about Libor that cost the bank billions

On 21 February 2005, a trader requested of another trader who performed submitter duties on a back-up basis:

Trader 1: "can we have a high 6mth libor today pls gezzer?"Trader 2: "sure dude, where wld you like it mate ?" Trader 1: "think it shud be 095?"Trader 2: "cool, was going 9, so 9.5 it is." Trader 1: "super – don’t get that level of flexibility when [the usual submitter] is in the chair fyg [for your guidance]!“

London CitiAm 2015-04-23

Merrill Lynch hit with £13.2m fine

• The watchdog said the amount levelled at the firm “reflects the severity of MLI's misconduct, failure to adequately address the root causes over several years despite substantial FCA guidance to the industry, and a poor history of transaction reporting compliance”.

• Georgina Philippou, FCA's acting director of enforcement and market oversight, said: “Proper transaction reporting really matters. Merrill Lynch International has failed to get this right again – despite a private warning, a previous fine, and extensive FCA guidance and enforcement action in this area. 

London CitiAm 2015-04-23

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Many sources

Multiple views of multiple sources is the data challenge

OpenGamma(Postgress)

Reference Data

Corep Finrep(XBRL Taxonomy)

Spreadsheets

View 1

View 2

View 3

View 4

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Traditional data architecture uses data warehouse

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Data warehouse

Front office systemClient ID Name Client

type1 Thatcher Gold2 Blair Silver3 Cameron Bronze

Risk system

Client ID

LEI Name Client type

Risk Rating

1 987 Thatcher Gold High

2 654 Blair Silver Medium

3 654 Cameron Bronze Medium

321 Obama LowLEI Name Risk rating

987 Thatcher High654 Blair Medium321 Obama Low

Warehouse duplicates & transforms the data

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Therefore BCBS239

• Why?• What?

o 1 Governanceo 2 Data architecture and IT infrastructure o 3 Accuracy and Integrityo 4 Completenesso 5 Timelinesso 6 Adaptabilityo 7 Accuracyo 8 Comprehensivenesso 9 Clarity and usefulnesso 10 Frequencyo 11 Distributiono 12 Reviewo 13 Remedial actions and supervisory measureso 14 Home/host cooperation

• Who?o Systemically important

bankso Others to follow

• When?• Jan 2016 for SIB• Others later

• How?• Periodic review by

supervisor• Supervisor to supervisor

cooperation

http://www.bis.org/publ/bcbs239.pdf

Show your management team how data architecture helps meet BCBS239 using his “BCSB239 Model driven solutions checklist” tool.

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BCBS239 Programme management tool

• Each row is a obligation paragraph• Columns for

o Output• Obligation #• Section• Description etc• Evidence required

o Input• Level of compliance• Level of evidence• Priority• Owner

• Tool calculateso Readiness score for each obligationo Programme reediness scoreo Averages

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Breakouts

For your BCBS239 paragraphs report back on

• Appropriate evidence• How it implement in Magicdraw

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Meet the obligations more efficiently by leveraging FIBO and semantic technology

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The Data Point Model

Value Value SetData Point

Aspect

Context

Many

Value

1

The data point meta model separates the data points and their values

And treats concept relationships as data

15

Traditional strategy

Example DPM with instance data

DoBs Client

1925-10-13 Thatcher

1953-05-06 Blair

1953-05-06 Cameron

Data Point Model

Aspect Values

1945-01-011953-05-06

Aspect ValuesThatcher

Blair

Cameron

DPs!6#^

7f%$

^rrA

FQ!@

~A¬0

Aspects

DoB

Client Rule

s

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ModelDRExisting systems

Data Point Model architecture

OpenGamma(Postgress)

EBA COREP(Access)

Corep Finrep(XBRL Taxonomy)

Spreadsheets

Data point models

EBA COREP

Spreadsheets

Corep Finrep

FIBO

Open Gamma

In place

access

Sem

antic

s

View 1

View 2

View 3

View 4

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Demonstration subject matter

Para 33: Must have taxonomyPara 34: Data is aligned to

that taxonomyPara 40: Data qualityPara 50: On demand slice

and dice…..……

http://www.bankofengland.co.uk/

statistics/Documents/about/dqf.pdf

http://www.edmcouncil.org/

dataquality

EDM Council Data Quality standard• Completeness, • Coverage, • Conformity, • Consistency, • Accuracy, • Duplication, • Timeliness

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Demonstration

1) Model Spreadsheet report2) Model database table3) Enrich the data points of the reports with their Source system4) Enrich the data points of the reports with their Time cycles5) Synthesis a common view of the 2 data sources using FIBO6) Assign the data points to the US GAAP7) Provide analysis, report and data quality metrics

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1: Untangle a spreadsheet

Report NameY Axis Aspect Y Axis Value Set Name Y Axis Coordinate Aspect Values

ReportableAspect

X Axis Aspect

X AxisValue Set

X AxisCoordinateAspect Values

Reportable Aspect Values

Reverse engineer

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Business Entity

Class Level Adaptor

Attribute Adaptors

Adaptors Class Level Aspect

Attribute Level Aspect

Attribute LevelValue Sets

Resources

2. Untangle an existing data base

Reverse engineer

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3) Enrich the data points of the reports with their Source System

Wire together

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4) Enrich the data points of the reports with their Time Cycles

Wire together

23

5) Synthesis a common view of the 2 data sources using FIBO

Wire together

FIBO Model

Spreadsheet model

Integrated model

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6) Assign the data points to the US GAAP

Reverse engineer

Integrated model

US GAAP model

Wire together

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7) Provide analysis, report and data quality metricsYou now have a complete database• Reports• Ad-hoc queries• Inferencing queries

Systems

Data management tooling

Reporting and analytics Regulator

Duplication

Coverage

ConsistencyAccuracy

completeness

conformity

The model in the BCBS239 ecosystem

Roles

modelDR

Trading systems

Calculation Engine

Reg Report needs

(e.g. XBRL taxonomy)Spreadsheets

Risk systems

Data warehouses

Report writer

Data modelling

Ontology management

Data Architect

Business Domain Expert

Data Owner

FIBO

Cross DBDQ Queries

Data quality metrics

Meta data Analysis

Definition of Good

Data QualityReport Designs

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Resource search terms

• Data Quality Webinar: May 19th “How can I measure the quality and integrity of my data”

• Paper: BCBS239 Principle of Risk Data Aggregation• Progress report: BCBS Progress in adopting the principles for effective

risk data aggregation and risk reporting • Data Point Model: ECB Data Point Model• XBRL: XBRL Abstract Model