1. DC DOCS Automated Documentation for Models, Spreadsheets and Code
June 2019
© COPYRIGHT | Delta Capita | CONFIDENTIAL

2. Agenda Delta Capita Overview DC DOCS –Automated Documentation
Other Products 01 02 03

3. 01. Delta Capita Overview

4. Delta Capita Overview ENTREPRENEURIAL PRACTITIONERS AUTHENTIC
Our business
Corporate Milestones
Delta Capita is an independent fastest growing consultancy firm fully dedicated to the financial services industry
We work in the area of Business and Technology Transformation. We provide consultancy as well as complementary managed services
Experts at translating strategy into business solutions and/or value- add Products and providing execution capability
When a client faces a challenge or issue to resolve, we take pride in making sure the client gets a solution; one way or the other
2010: Established by three founding partners
Opened offices in London and Amsterdam
2014: Introduction of Capital Markets Delivery
2016: Opened Hong Kong, Singapore and Johannesburg
2017: Opened new London Headquarters
2018: Launch of Delta Capita products (MINT, DOCS and VOICE)
2019: Opening offices in New York and Frankfurt
Launch of further Delta Capita products (COMPRESSION)
Client base
Investment Banking
Commercial Banking
Retail
Banking
Asset Management
Insurance
Our DNA
Global presence
ENTREPRENEURIAL
INNOVATIVE
CAN-DO-MENTALITY
200
+ rapidly growing
ENERGETIC
AUTHENTIC
PRACTITIONERS
Four regional offices
+ People in New York, Frankfurt and Milan

5. 02. DC DOCS
Automated Documentation

6. Model Documentation – Challenges and Regulatory Compliance
70% of Firms are impacted by poor quality Model Documentation
Model Documentation
General Description
Process Map
Change Log
Performance Metrics
Data Sources and Lineage
Risks and Controls
Are you compliant with regulatory guidelines and best-practices?
Do you provide an accurate reflection of model behaviour and assumptions?
Do you have complete or up-to-date model documentation ?
Do your Model developers fully document their activities?
Do you make efficient use of expensive development time?

7. Model Documentation - Regulatory requirements
CRD IV / CRR – Capital Requirements Framework
SR 11-7 Guidance on Model Risk Management
ECB Targeted Review of Internal Models (TRIM)
Basel Committee on Banking Supervision - BCBS 239
The EU implementation of the BASEL III capital adequacy standard including model governance and documentation obligations
Key requirements
All material elements of the internal models and the modelling process and validation shall be documented
Changes in estimation and validation methods and changes to data sources and periods covered, shall be documented
The internal model and the modelling process shall be documented, including the responsibilities of parties involved in the modelling, and the model approval and model review processes
Where the institution employs statistical models in the rating process, the institution shall document their methodologies.
FED and OCC supervisory guidance laying out minimum requirements for model risk management practices including model documentation
Key requirements
Make model developers responsible for thorough documentation and provide incentives to produce effective and complete documentation
Model documentation should be kept up to date as the model and application environment changes
Ensure that other participants in model risk management activities document their work
The business or other decision makers should document information leading to selection of a given model and subsequent validation
Ensure appropriate documentation is available from vendors or other third parties when using models developed externally
All internal models should be documented in such a way that a third party would be able to understand the methodology, assumptions, limitations and use of the model.
(a) Institutions should have a concept of what constitutes a model; this concept should be documented/fall under model governance. Identified models should be inventoried in a manner that facilitates a holistic understanding of their application and use.
(b) The thoroughness of model governance should be proportionate to the materiality of the model. However, it is expected that all models that are used for business decisions should be properly documented.
The scope of the required documentation (e.g. areas to be covered) for each type of model should be properly defined. Areas to be covered include the technical aspects of the model (methodology and assumptions), instructions for model users and performance/validation (including the results of implementation testing)
‘Principles for effective risk data aggregation and risk reporting’ for G-SIBS and D-SIBS’
Risk Data Aggregation Capabilities:
Ensure processes and controls are put in place prior to risk calculation
Ensure data quality monitoring and process applied
Ensure documentation is produced
Ensure completeness, accuracy, integrity and timeliness 7

8. Model Documentation – Why DC DOCS
Provides
Regulatory
Compliance
Provides
Cost effectiveness
and Risk Mitigation
Provides Consistency
Provides
Rapid Model
Validation
Provides Efficiency
GDPR
SR11-7
CRD IV / CRR
TRIM
BCBS 239
…..
Model developers can focus on developing or maintaining models rather than writing documentation
Industry best practices are followed and streamlined model validation information is provided in a standardised and consistent manner
Increased speed with which documents can be prepared, distributed and signed-off
Fewer resource requirements and model users/the Business have models available quicker to create revenue, mitigate risk and/or reduce costs. 8

9. DC DOCS – Automated Model/Code Documentation
Do you know what your models and systems do - the inputs, calculations, transformations, outputs and why?
Are you compliant with the Regulations?
Model/System/Application source code
Model/System/Application Documentation
Generated by DC DOCS
DC DOCS 9

10. DC DOCS – Automated Spreadsheet Documentation
Do you know what your spreadsheets do - the inputs, calculations, transformations, outputs and why?
Are you compliant with the Regulations?
Spreadsheet Model
Model Documentation
Generated by DC DOCS
DC DOCS 10 10

11. 03. DC DOCS Platform Features Customisable document templates
Development
Model Validation
Compliance
End-users
Parsing layer
Report generation layer
Template Manager
Others
Analysis layer
Parameter and Function analysis
Change Log
Dependency Graph
Documentation targets
Models
Spreadsheets
Systems
Applications
SCM tools
Versioning
Documents (DOC, PDF, etc.)
Features
Customisable document templates
Programming language agnostic
Modular Architecture
Command-line interface
Programmatic Interface
Integration with build pipelines 11

12. 03. Other Products

13. We Provide Products and Solutions to Your Challenges
DC MINT - Machine Learning Model Interpretability
DC COMPRESSION - Model Compression and Optimisation
DC VOICE - Voice Activated Technology
DC RISK - Contagion Risk, Challenger and Benchmark Models
DC COMP - High-performance real-time computation platform
DC Data Solutions - Efficient, cost effective products and resources
…as well as consultancy services