A practical approach to BCBS 239 Risk data aggregation and reporting

Big Tick

Increased focus on risk and finance data integration

Big Tick

Completion of all relevant stress tests

Big Tick

Development of a risk matrix and implementation of new risk measures

Challenge

Market risk management processes, which encompass regular scenario analysis and stress tests, are designed to enable organisations to adopt a more proactive approach to the comprehensive observation and management of potential risk factors upon financial conditions. Our client, a global investment bank, engaged us to support the design of a new governance framework which would systematically identify, assess, monitor and report its market risk. We worked in close partnership with the bank’s data quality operational governance team to ensure that its front to back-office processes and system workflows were accurately documented and well understood across the business in order to facilitate its ongoing compliance with BCBS 239 Risk Data Aggregation & Risk Reporting.

Challenge

Solution

Since the measurement of market risk is governed by regulatory guidelines, the application of big data techniques in market risk management is a particularly challenging issue that is further complicated by the fact that the industry has grown accustomed to more conventional methods of risk measurement. In order to help our client to navigate the complexities associated with market risk management within its business, Albany Beck assigned a dedicated project team to the bank, led by one of our highly experienced Engagement Managers. The team’s intrinsic knowledge of IT/architecture was critical in terms of allowing us to understand how data could be effectively streamed to different areas of risk. Albany Beck stress tested every product within the bank’s asset class in order to ensure that the data flow through the governance framework and models was correct, relevant and compliant with relevant regulatory guidelines.

Solution
Big Tick

Introduction of management information and reporting

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Strategic change management across risk, finance, data and technology

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Full compliance with BCBS 239 Risk Data Aggregation and Risk Reporting

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Phillip Wood

Director, Risk Practice

Phillip Wood