risk management | data analytics | visualization

IMAGE: MASHABLE COMPOSITE

Integrated Risk Reporting and Data Visualization

Date: September 2015

Venue: TBD

 

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  • Abstract

    In previous years, banks have significantly invested in the development of tools and methodologies for the identification and measurement of risk from simple "traffic lights" measures to more advanced stochastic models. Accordingly, the whole process entails a significantly increased number of daily / weekly / monthly data and complex implementation and integration of databases. In addition, the financial crisis has opened a "Pandora's box" on the subject of management, accuracy, time availability and quality of data. The regulatory response is the substantial increase in the volume of reports that banks must meet and in a much shorter time, both on a consolidated and individual basis. In addition to regulatory pressures and narrower market as a result of the financial crisis, the need for additional quality information is increasing which in turn dictates the need for timely analysis of data at a much higher and multi-dimensional level. Not leveraging the available data and process optimization prevents the institution the same level playing field in the market and regulatory compliance. Optimization, or even complete automation of the reporting process greatly contributes to the improvement of business processes in both cost optimization and faster, more accurate decisions based on the analysis of data in real time.

    The aim of the seminar is to show the complete process from data aggregation and integration to the practical side of the reporting process.

  • Agenda

    INTRODUCTION

    • Need for change
    • Long term view
    • Regulatory framework and internal needs
    • Road towards solution

    DATA STRUCTURE

    • Data interpretation and problems
    • Single source of truth
    • Data quality
    • Smart and Analytical data

    AGGREGATION

    • Compare / Measure / Audit
    • “Analytical data” - Risk Data Mart (RDM)
    • “Self-service” BI model

    INTEGRATION

    • The value of integration
    • Risk vs Accounting vs Finance
    • Integrated management (Stress testing / ICAAP / Benchmarking / Capital management / Planning / Collections)
    • Technical processes and tools

    VISUALIZATION AS A TOOL

    • Structural data analysis
    • The importance of visualization
    • Information value creation

    REPORTING PROCESS

    • Structural reporting process
    • Type / Method / Communication
    • Process optimization and automation
    • Choosing the right tool (SAS, mobile BI, Excel, R shiny, SQL Add-ons, Excel Add-ons, Tableau)
    • Dashboards

    EXAMPLES

    • Data quality and data preparation
    • Advanced methods and procedures in reporting
    • Creating reports (html, pdf,  xlsx, doc, ppt)
    • Examples (SAS / Excel with VBA)

     

    Annex I - [BCBS239] Principles of Effective Risk Data Aggregation and Risk Reporting

    Annex II - Reference

  • Overview

    • overview of the latest regulatory guidelines directly connected to data aggregation, integration and internal reporting
    • understanding the gap between data managers and decision makers
    • design and understanding the importance of aggregation and integration
    • practical process of reporting process optimization
    • implementation of advanced tools for data analytics and risk visualization
    • implementation of advanced reporting tools

PAST TRAINING

Credit Risk Scoring

  • Agenda

    INTRODUCTION

    • Introduction to credit risk
    • The Basel Accords

    STATISTICAL METHODS FOR CREDIT SCORING

    • Introduction to GLM
    • Credit scoring methods
    • Default definitions and their impact
    • Classification techniques
    • Behavioral models

    MODEL DEVELOPMENT PROCESS

    • Processes within the scorecard development

    PRELIMINARY ANALYSIS OF FINANCIAL DATA

    • Defining financial ratios
    • Defining univariate relationships
    • Data management - data quality assessment
    • Transformation of variables
    • Univariate analysis

    METHODS FOR MODEL SELECTION

    • Choosing variables
    • Assessment of discriminatory power

    METHODS FOR MODEL INFERENCE

    • Logistic regression
    • Multivariate analysis
    • Maximum-likelihood analysis

    VALIDATION

    • Model validation (quantitative/qualitative)
    • Contingency tables / ROC
    • Calibration validation

    CALIBRATION

    • Defining rating classes
    • Model calibration
    • Cohort / Durability
    • Transition matrices

    APPLICATION OF RATING MODEL WITHIN CREDIT DECISION

Concentration Risk

Statistical Programming and Credit Risk

  • Agenda

    INTRODUCTION

    • Which tool to choose?

    THE R LANGUAGE

    • Introduction to R
    • R environment and R syntax
    • Basic operations and functions

    DATA MANAGEMENT

    • Import data / Working with databases
    • Cleaning data
    • Data definitions and transformations

    VISUALIZATION IN R

    • Basic principles of visualization
    • Basic graphs
    • Using ggplot2

    UNIVARIATE ANALYSIS

    • Defining variables
    • Exploratory data analysis
    • The process of univariate analysis
    • Choosing the variables

    GLM MODELING

    • Model definition and assumptions
    • Model inference and interpretation

    VALIDATION

    • Validation process
    • Statistical measures and tests used

Modeling Probability of Default

About

 

FinMetrika, established in 2004, provides consulting services and software solutions in the area of risk management, predictive analytics, advanced analytics of large data sets and technical solutions for all levels of the reporting processes. Solutions created are based and supported by many years of experience, both operational and management, gained on projects encompassing analysis of large and complex data sets, quantitative modelling in the area of credit risk management, scoring models implementation, dynamic  software solutions for real-time reporting and many more.

Our goal and mission is to transform the idea into actionable solutions and help our clients achieve the desired goal.

Contact

 

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10310 Ivanić Grad

Croatia

tel:    +385 1 2823 303

fax:   +385 1 288 2861

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