Frukostseminarium riskdataaggregering och riskrapportering

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Frukostseminarium om riskdataaggregering och riskrapportering, 29 november 2014 Rigoletto. Talare: Elisabeth Antonsson, Nordea och Kristofer Sderholm, Transcendent Group

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  • 1. Frukostseminarium om riskdataaggregering och riskrapporteringRigoletto 26 november

2. Elisabeth Antonsson 26/08/20142 3. RDARRRisk Data Aggregation and Risk ReportingBCBS239Elisabeth Antonsson 26 November 2014 4. 4 5. Elisabeth Antonsson 26/08/20145 6. Finansiell StabilitetElisabeth Antonsson 26/11/20146 DATA GapstemplateLCRBRRDANA LEIcreditAQR 7. 20132016 JanuaryG-SIBs (Global SystemicallyImportant Banks) areexpected to meet theRDARR Principles by 1stJanuary 20162008 Financial Crisis2013 January : Genesis 14 principles for Risk Data Aggregation and Reportingissued Authored by Basel Committee on Banking Supervision(BCBS)2013 June: G-SIB 1st Self-Assessment G-SIBs (Global Systemically Important Banks), asked to complete aself assessment questionnaire Questionnaire consisted of 87 questions designed to assess currentstate2013 December: BCBS Progressreport Findings from 1st Self-Assessmentissued in the BCBS 268 paper Results regarded as disappointing The banks believe most regulators failto grasp the enormity of the ask2014 June: G-SIBs 2nd self-assessment Supervisors ask G-SIBs to complete a second self assessment 2nd questionnaire contains 35 questions which focus on thosekey areas identified in the BCBS 268 paper to be most weaklyperforming amongst Banks2015201620142015: Further assessmentby G-SIBsSome regulators will follow upactions based on the initialassessmentBCBS239 is a set of RDARR principles that articulate how an organization should manage risk. The followingpicture illustrates the development of BCBS 239 from January 2013 to January 2016:By January 2016 G-SIBs are expected to comply with theBCBS 239 according to the Financial Stability Board (FSB)7 Elisabeth Antonsson 26/11/2014 8. Background The Principles for effective risk data aggregation and risk reporting (the Principles)were issued by the Basel Committee in January 2013 upon recommendation from theFinancial Stability Board as part of activities to strengthen the Financial Stability. The purpose is to strengthen risk data aggregation and risk reporting practises at banks. Inturn, effective implementation of the Principles is expected to enhance banks riskmanagement and decision making processes. In addition, improving banks ability toaggregate risk data is also expected to contribute to improve their resolvability. G-SIBs identified 2011 or 2012 are expected to comply with these principles by end of2015. New G-SIBs within three years of their designations. Strongly suggested that national supervisors apply these to D-SIBs The Standards Implementation Group (SIG) within the Basel Committee follows thedevelopment Self-Assessments 2013 and 2014 G-SIBs identified similar weaknesses in IT area and Data Governance. All banks aremaking efforts in closing gaps in order to achieve compliance.8 Elisabeth Antonsson 26/11/2014 9. Objectives of the RDARR Principles Enhance the infrastructure for reporting key information, particularly that usedby the board and senior management to identify, monitor and manage risks; Improve the decision-making process throughout the banking organisation; Enhance the management of information across legal entities, while facilitatinga comprehensive assessment of risk exposures at the global consolidated level; Reduce the probability and severity of losses resulting from risk managementweaknesses; Improve the speed at which information is available and hence decisions canbe made; and Improve the organisations quality of strategic planning and the ability to managethe risk of new products and services.9 Elisabeth Antonsson 26/11/2014 10. Scope Banking group and solo basis Banks risk management data Key internal risk management models Pillar 1 regulatory capital modelsInternal ratings-based approaches for credit risk and advanced measurementapproaches for operational risk Pillars 2 capital models Other key risk management models Value at Risk Risk management processes, and financial and operational processes Processes outsourced to 3rd partiesElisabeth Antonsson 26/11/201410 Meet all Principles simultaneously Trade-off accepted in exceptional circumstancesand with no material impact on risk managementdecisions Senior management aware of these trade-off andlimitation associated with these 11. RDARR principles - genuine sound and must haves for any business!Supervisory review,tools and cooperationOverarchinggovernance andinfrastructureRisk data aggregationcapabilitiesRisk reportingpracticesGovernance Fully documentedprocesses Consideration of impactduring implementation Unaffected by the groupstructure Awareness of risk dataaggregation limitationsAccuracy and Integrity Data aggregation onlargely automated basisCompleteness Capturing andaggregating all major riskexposures on group levelTimeliness Ability to produce criticalrisk data in crisissituationsAdaptability Ability to respond to ad-hocdata requestsAccuracy Precise risk datareportingComprehensiveness Covering all major risksFrequency Frequency should betailored to nature of risk Reporting within veryshort period of timeClarity and usefulness Tailoring information toneeds of recipientsDistribution Tailoring reports tospecific needs ofrelevant partiesReview Periodic review ofcompliance withprinciples Spot checks bysupervisory authorityRemedial actions andsupervisory measures Measures to limitdeficiencies in riskdata aggregationHome/host cooperation Internationalcooperation ofsupervisors Sharing informationwithin constraints ofapplicable lawsData architecture and ITinfrastructure Introduction of integrateddata taxonomies andstructures on group level Information on datacharacteristics Specification of roles andresponsibilities1234567891011121314Foundation Efficient processes and Tools Measure ComplianceElisabeth Antonsson 26/11/2014 12. Men vad gr man med alla dessa bra och sunda principer?Elisabeth Antonsson 26/11/201412 TolkaGap-analysRoadmap 13. Elisabeth Antonsson 26/08/201413 14. FFFS2014:1 och :30 2 kap6 Ett fretag ska ha IT-system och rapporteringsrutiner som skerstller att information om dess verksamhet och riskexponering raktuell och relevant samt att den externa rapporteringen r tillfrlitlig, aktuell, fullstndig och att den rapporteras i tid.7 Ett fretag ska ha frmga att s snart som mjligt samla in och automatiskt sammanstlla data fr fretagets vsentliga ochmtbara risker. De IT-system som stdjer sammanstllningen ska vara flexibla och kunna mta olika analysbehov. Riskdata ska kunnasammanstllas tminstone vid krissituationer, stresstester samt p begran frn Finansinspektionen.Fretaget fr nr det tillmpar frsta stycket ta hnsyn till verksamhetens art, omfattning och komplexitet.Allmnna rdRiskdatan br kunna sammanstllas per verksamhetsomrde, juridisk person,tillgngsslag, typ av motpart, region och andra relevanta grupperingar p ettstt som gr det mjligt att identifiera och rapportera riskexponeringar,riskkoncentrationer och riskfrndringar.Dessa freskrifter trder i kraft den 1 april 2014 utom i frga om 2 kap. 7 som trder i kraft den 1 januari 2015.Elisabeth Antonsson 26/11/201414 1 Dessa freskrifter gller fr fljande fretag:1. bankaktiebolag,2. sparbanker,3. medlemsbanker,4. kreditmarknadsbolag, och5. kreditmarknadsfreningar.Freskrifterna ska ocks tillmpas p vrdepappersrrelsen i dessa fretag.Freskrifterna ska, i enlighet med vad som gller enligt 3 kap. 4 lagen (2014:968)om srskild tillsyn ver kreditinstitut och vrdepappersbolag, tillmpas p grupp ellerundergruppsniv. 15. Beslutspromemoria FI Dnr 11-5610, 2014-02-17Finansinspektionens skl:IT-verksamheten i finansiella fretag representerar en betydande kostnad vilken kontinuerligt ses ver ochifrgastts av fretagsledningarna. Efter den senaste finanskrisen r en av de internationella lrdomarnaatt det finns brister i systemviktiga bankers it-system och deras frmga att sammanstlla data frledningens behov. Dessa brister fick allvarliga konsekvenser fr bankerna och stabiliteten i det finansiellasystemet som helhet. Fr att komma till rtta med detta har Baselkommittn fr banktillsyn (BCBS)gett ut riktlinjer om sammanstllning av riskdata och riskrapportering11 vilka i utvalda delar infrs idessa freskrifter.Regleringen syftar till att strka fretagens frutsttningar att snabbt verblicka fretagets vsentliga ochmtbara risker. Vilka risker som r vsentliga frvntas fretaget bedma utifrn dess riskprofil.Utgngspunkten r sammantaget att fretaget ska ha en tillrckligt hg automatisering fr att kunna mtafrnderliga rapporteringsbehov vid tminstone krissituationer och stresstester samt p begran avFinansinspektionen. Med en hg grad av automatisering och automatiska kontroller minskar vensannolikheten fr att fel uppstr i riskdata, vilket kan bli fljden av en manuell hantering. Enligt andra stycketomfattas bestmmelsen av proportionalitet, t.ex. i frga om graden av automatisering.11 Principles for effective risk data aggregation and risk reporting (2013).Klla: http://www.fi.se/upload/30_Regler/10_FFFS/2014/beslutspm-fffs-2014-1.pdfKlla: http://www.bis.org/publ/bcbs239.pdfElisabeth Antonsson 26/11/201415 16. Tack fr mig!Elisabeth Antonsson 17. Aggregering och rapportering av riskerKristofer Sderholm 18. FFFS 2014:1 frmga att s snart som mjligt kunna samla in och automatiskt sammanstlla data fr fretagets vsentliga och mtbara riskerProportionalitetsprincip avseende grad av automatiseringKravet i 2 kap. 7 trda i kraft den 1 januari 2015 Transcendent Group Sverige AB 2014 19. Varfr r det s viktigt? Transcendent Group Sverige AB 2014 20. Varfr r det s viktigt?subjektiv bedmning om mina egna darlingsfrmga att leverera korrekt rapportering under stressproaktivt kontra reaktivt Transcendent Group Sverige AB 2014 21. Vad har vi fr data?affrfinansincidentrisk Transcendent Group Sverige AB 2013 22. Transcendent Group Sverige AB 2014bolagaa1a2bb1b2b21b22c 23. Transcendent Group Sverige AB 2014bolagaa1a2bb1b2b21b22c 24. Transcendent Group Sverige AB 2014bolagaa1a2bb1b2b21b22c 25. Transcendent Group Sverige AB 2014bolagaa1a2bb1b2b21b22c 26. infrastrukturfrbttrabeslutsfattandesnabbarebeslutsunderlagaggregeratpglobal nivreduceraeffekteravbristflligriskhanteringmer strategisk affrsutvecklingVad fr vi ut av det? Transcendent Group Sverige AB 2014Klla: riktlinjerna fr sammanstllning av riskdataoch riskrapportering som slpptes i januari 2013 frn Baselkommittn fr banktillsyn 27. Ni kommer ven att hitta Transcendent Group Sverige AB 2014 28. Bonusoegentligheteravvikelser frn det normalamjlighet att korrelera data som tidigare var tskilttrendanalysmonitorering och larm Transcendent Group Sverige AB 2014 29. Avslutningsvisdet r brttomtnk efter fre och bygg fr att aggregera och analysera hierarkiskt, p tvren och ad hocvrlden frndras det mste vr riskaggregering tlaproaktivt istllet fr reaktivtfrigr mjligheterna i ert data Transcendent Group Sverige AB 2014 30. www.transcendentgroup.com