J 2019

Risk data validation under BCBS 239

PROROKOWSKI, Lukasz

Basic information

Original name

Risk data validation under BCBS 239

Authors

PROROKOWSKI, Lukasz (616 Poland, guarantor, belonging to the institution)

Edition

Journal of Risk Model Validation, Incisive Media, 2019, 1753-9579

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50206 Finance

Country of publisher

United Kingdom of Great Britain and Northern Ireland

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

Impact factor

Impact factor: 0.412

RIV identification code

RIV/00216224:14560/19:00113041

Organization unit

Faculty of Economics and Administration

DOI

UT WoS

000487750000004

Keywords in English

BCBS 239; master data; data lineage; audit trail; data validation; targeted review of internal models (TRIM)

Tags

International impact, Reviewed
Změněno: 27/3/2020 14:46, Mgr. Daniela Marcollová

Abstract

V originále

With banks facing increased pressure from regulators to improve their risk data aggregation processes, BCBS 239 constitutes a particular point of focus. At this point, BCBS 239 - the Basel Committee on Banking Supervision's "Principles for effective risk data aggregation and risk reporting" - should not be treated as a set of regulations for data aggregation, but as a collection of ongoing practices for achieving the best risk management experience. Recognizing the importance of BCBS 239, this paper specifically explores the key weaknesses around existing data aggregation capabilities that affect the validation function. As it transpires, proving complete data lineage under BCBS 239 is challenging for banks. Therefore, this paper advises on solutions, tools and techniques to improve the audit trail of risk data and the overall understanding of the risk data universe. This paper, based on a survey of twenty-nine global banks, looks into how risk data is provided and validated.