Learn, Grow, Adapt 07/10/15 sqlrelay.co.uk/ Nottingham 08/10/15 sqlrelay.co.uk/ Reading 12/10/15 sqlrelay.co.uk/ London 13/10/15 sqlrelay.co.uk/ Bristol.

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Learn, Grow, Adapt 07/10/15 sqlrelay.co.uk/ Nottingham 08/10/15 sqlrelay.co.uk/ Reading 12/10/15 sqlrelay.co.uk/ London 13/10/15 sqlrelay.co.uk/ Bristol 14/10/15 sqlrelay.co.uk/ Cardiff 15/10/15 sqlrelay.co.uk/ Birmingham

Awesome SQL Server conferences on your door step! w: sqlrelay.co.uk Business Analytics To Manage Financial Risk Mark Wilcock, Zomalex Ltd.

Bronze Silver

Agenda Why does Risk Management matter? 5 easy ways to lose money The regulators and their regulations Data / Aggregation / Reporting – challenges & approaches Some interesting books & articles

Royal Bank Of Balham Save with our NiceSave savings range Excellent saving rates – best on the market! How much will you deposit? a)£0 b)£50,000 c)£150,000

What could possibly go wrong?

Royal Bank Of Balham Would you deposit your money? What interest rate? Would you buy shares in RBB? What dividend rate? If you were a trader in RBS, would you enter a long running trade with RBB? What are Mark Carney’s concerns about RBB?

5 easy ways to lose money Asset prices drop (market risk) A borrower or issuer defaults (credit risk) Your counterparty does not pay up (counterparty credit risk) You run out of cash to pay immediate bills (liquidity risk) Rogue trader or cock-up (operational risk) Got to keep cool in a crisis

Types Of Data Trades and positions Market prices and time-series history Counterparties Issuers Firm hierarchies External reference – countries / currencies Results – sensitivities and risks

A typical market risk report Mark

Market Risk Report Examples

The Regulators BIS and BCBS National regulators FRB (US) PRA (UK) FINMA (CH) Regulatory Capital

Fundamental Review Of The Trading Book (BCBS 265) All Change! Change method of calculating results For ~100 desks rather than a few legal entities Report daily rather than annually Check 5 times a day rather than end of day Run both regulator’s and in-house calcs Back test torture – put your money where your model is

BCBS 239 Data, Aggregation & Reporting Governance Especially in a crisis Aggregation Integrity & accuracy Drill down Reporting Comprehensive Accurate Clear Timely Actionable Right audience

Wiring Diagram Of A Bank (Anonymised)

Data Challenges Data Quality Accurate? Timely? Complete? Independently Verified? Audited? Approaches Front end golden source – and fewer systems Keep it granular – aggregate at last moment Data dictionary Culture and ownership Using EDA tools like Power BI to find quality issues

Aggregation Challenges Adjustments Losing vital information along the way Failures in calcs As fast as possible Large size of risks & results Approaches Automation Workflow, sign-off and approvals, audit challenge Common Golden hierarchies Operational Dashboards Lineage & Traceability

Reporting Challenges Canned reports backlog Limited analysis capability Ugly complex reports Materiality? Relevance? Approaches More interactive dashboards, fewer canned reports Self-reliant reporting in Power BI Good dashboard design Forward looking reports Moving to Scrum teams? Hygiene: security, performance, distribution, all reports in one place

Interesting Reading

Thank you zomalex.co.uk meetup.com/london-business-analytics-group