STREAM 2 SAS PRESENTS: IMPLEMENTING IFRS9

Transcription

1 STREAM 2 SAS PRESENTS: IMPLEMENTING

2 Impairment Evolution Customer Migration B/S Forecast IMPLEMENTING What is? PROBLEM STATEMENT Dynamic Impairment Forecasting What is issue? New accounting standard increasing granularity and complexity Economic Expectations Lifetime Impairment charge Business Finance Risk Cross functional, with multiple models in a new process Concerns on granularity, accuracy & auditability Automated solution with strong governance and change control Who is Concerned? Executive Board downwards What is the SAS Solution? Software & Services Solution Acc. Standards Ext. Auditors Shareholders Bus Planning CFO Statutory Reporting Board CRO Credit Risk Internal Audit Capital Planning Other Senior Execs Impairment Modelling Productionised Calculations Model Governance Auditable Processes Regulatory Reporting Data Management MIP & RFW foundation SAS Strategic Implementation Partners SAS Professional Services & Support

3 SOLVING THE TECHNOLOGY PROBLEM

4 IMPLEMENTING A COMPREHENSIVE SOLUTION WITH A MODULAR APPROACH Governance SAS Model Risk Management Validation and Governance Model Development SAS Risk Model Workbench Model Specification, Estimation and Calibration Model Implementation SAS Model Implementation Platform Scenario Management and Model Execution Consolidation and Reporting SAS Risk and Finance Workbench Regulatory and Management Reporting Inventory of Models Data and Model Staging Stress Testing Data Mart Data Sourcing Results Data Repository Data Validation and Aggregation SAS Risk Data Aggregation and Reporting External Market Data Collateral Portfolio Data Parameters GL Data Transactions 3 rd Party Data Rules, Metrics, Dynamic Hierarchies

5 IMPLEMENTING Coding LEVEL 1 LEVELS OF AUTOMATION Model Factory LEVEL 2 SAS EM, EG, MM Base SAS Governance & Control LEVEL 3 SAS MIP, BRM, VA SAS EM, EG, MM Base SAS Integrated Solution LEVEL 4 Risk Modelling Workbench Model Implementation Platform Risk and Finance Workbench Model Risk Management Base SAS SAS DMS SAS DMA Regulatory Compliance Regulatory Compliance Regulatory Compliance Regulatory Compliance Productivity & Maintainability Productivity & Maintainability Productivity & Maintainability Productivity & Maintainability Auditability Auditability Auditability Auditability Structure & Governance Structure & Governance Structure & Governance Structure & Governance High Performance High Performance High Performance High Performance Ad-hoc Analysis Ad-hoc Analysis Ad-hoc Analysis Ad-hoc Analysis

6 IMPLEMENTING DEVELOPMENT AND IMPLEMENTATION PROCESS PRODUCE REPORT (DI/EG/VA/RFW) REVIEW OUTPUTS (MIP/DQ/VA/EG/Excel) RECORD RESULTS (MIP/DI/BRM/RFW) EVALUATE / MONITOR RESULTS (MIP/MM/VAAR/EG) IDENTIFY / FORMULATE PROBLEM DATA PREPARATION (DI/DQ/EM/EG) VALIDATE REPORT (DQ/RFW) PRODUCTION PROCESS (BATCH / REAL TIME) (MIP/DI/RFW) DEPLOY (MM/DI) DEVELOPMENT DATA EXPLORATION (DQ/EM/EG/VA) UPDATE REPORT (DI/EG/RFW) INFORM BUSINESS STRATEGY EXTRACT DATA (DI/EG) VALIDATE (MM/EM/EG) BUILD (EM/EG) TRANSFORM & SELECT (DI/EM/EG)

7 Model Development / Calibration IMPLEMENTING END TO END PROCESS Data Model Dev. Model Implementation Stage Rules Workflow and Reporting Data Quality and Reconciliation Model Library Approval process Account Data Mortgages Cards CA Loans Economic / Market Data Forecast & Historic Data Mart Retail IRB with Application or behavioural models Standardised Portfolios with generic models Small portfolios basic models PD LGD EAD PD LGD Data Mart ECL model calibration and execution 12 Months ECL Calculated Lifetime ECL Calculated Stage Allocation rules - 12M / LEL Manual Adjustments Data Mart Reports & GL entry Data Environment Model Environment Simulation Environment Production Environment

8 HOW ARE CBS IMPLEMENTING THE SOLUTION

9 IMPLEMENTING PEOPLE AND PROCESS PRODUCE REPORT (DI/EG/VA/RFW) REVIEW OUTPUTS (MIP/DQ/VA/EG/Excel) RECORD RESULTS (MIP/DI/BRM/RFW) EVALUATE / MONITOR RESULTS (MIP/MM/VAAR/EG) IDENTIFY / FORMULATE PROBLEM DATA PREPARATION (DI/DQ/EM/EG) VALIDATE REPORT (DQ/RFW) PRODUCTION PROCESS (BATCH / REAL TIME) (MIP/DI/RFW) DEPLOY (MM/DI) DEVELOPMENT DATA EXPLORATION (DQ/EM/EG/VA) UPDATE REPORT (DI/EG/RFW) INFORM BUSINESS STRATEGY EXTRACT DATA (DI/EG) VALIDATE (MM/EM/EG) BUILD (EM/EG) TRANSFORM & SELECT (DI/EM/EG)