Implementation and application of a credit and market risk datamart. Samuel Kytka Executive Manager, Risk Data Infrastructure, VUB a.s.

Transcription

1 Implementation and application of a credit and market risk datamart Samuel Kytka Executive Manager, Risk Data Infrastructure, VUB a.s. May 2006

2 Agenda Who we are and brief Slovak market backdrop Implemented solutions with SAS Credit and market risk datamart - Risk Data Infrastructure Automation of risk reporting - Risk Reporting module 2

3 Overview of VUB s recent development Established Partially privatized via privatization vouchers State owned / controlled bank Massive bailout EUR 1.5bn of NPL s transferred to the state Privatization of the bank: 1 st Step EBRD & IFC 25% (Feb 2001) 2 nd Step Banca Intesa 95% (Nov 2001) Post-privatization restructuring and transformation under Banca Intesa ownership Growth strategy with focus on retail, small business and SME segments Current ratings Fitch A / Positive / F1 Moody s A2 / Positive / P-1 3

4 VUB today With assets worth EUR 6.0 bn, it is the second largest bank on the Slovak market. It administers deposits of EUR 4.4 bn and loans of EUR 2.1 bn. The bank currently serves more than 1 million retail clients, 76,000 micro-entrepreneurs, 13,300 SME s, 350 top local corporates and over 180 multinationals. Committed to continuous improvements and healthy growth, VUB bank is rapidly transforming into one of the best performing financial institutions in Central Europe. In the past two years, VUB bank was one of the most profitable banks in Slovakia. 4

5 VUB s market position Assets: 6,004 EUR mil Deposits: 4,373 EUR mil Loans: 2,108 EUR mil Ranking FTE s: 3,865 Branches: 207 retail + 11 mortgage centers 26 corporate branches ATMs: 462 POS s: 6,337 Cards: 1,112,100 2 Total Assets 16.3% 2 Customer Deposits 19.1% Asset Management % 3 Customer Loans (net) 14.4% 1 Mortgages 29.7% 2 Branches 21.1% 1 Cards 27.0% 2 ATM s 24.6% 1 POS terminals 31.2% 5

6 Implemented projects with SAS 2003 CRIM: Credit Risk Management datamart RDI: Risk Data Infrastructure Market and credit risk datamart - RDI created by SAS Slovakia - Risk Reporting Module created by VUB internal team 2005 present CRMS BASEL II: Credit Risk Management Solution for Basel II requirements (+ Credit Scoring) 6

7 Diagram of data flows before implementation of RDI solution DEPOSITS LOANS FINANCIAL MARKET INSTRUMENTS Daily Extractions Daily Extractions Daily Extractions CLIENTS G. L. Daily Extractions Manual corrections of GL Additional Data DWH Manual Data CREDIT RISK MARKET RISK REGULATORY REPORTING 7

8 General requirements on RDI solution Creation of integrated, consolidated and auditable database for regulatory reporting to bank supervisory body of central bank to cover all bank deals and accounting in area of balance sheet and off balance sheet assets and liabilities to cover other data areas needed for internal and external market and credit risk reporting 8

9 Requirements on RDI solution Areas of reporting Credit risk Liquidity risk Interest rate risk FX risk Adequacy of own funds (Basel I) Property exposure Reporting of consolidated group VUB 9

10 Loans and loan commitments Money market and REPO transactions Securities (in bank portfolio and issued) Requirements on RDI solution Data areas Client deposits and other foreign funds (various credit lines) FX and IR derivatives, options Letter of credit and guaranties Other data (client data, collaterals, investments to subsidiaries) Balances on GL accounts Assets and GL data of subsidiaries Transactions and GL data of foreign VUB branches 10

11 Architecture of RDI solution Only one place of data extraction Only one place for storage of historical data Extraction: Temporary Transformation: Temporary Star Scheme Assets and Liabilities: products and transactions Collaterals (collaterals catalogue) Clients (segmentation, economically linked groups) General Ledger (balances, reconciliation) Subsidiaries and foreign branches: transactions, clients, collaterals, GL Presentation: Source data RDI Data processing: Maintenance and operation of unified environment Historical data Business rules and mappings Datamart CRIM Datamart PRUDENTIAL OLAP reporting Analyses & Reporting (SAS, Enterprise Guide) 11

12 Data structures in RDI INC_% structures Transaction_id Account_GL Principal Acrued_interest Product_id Consumer loan REC_% structures Transaction_id Account_GL Attribute Value Product_id Principal 300 Consumer loan Acrued interest 9 Consumer loan CF_% structures (cash flow) Through reconciliation code list Through payment calendar Transaction_id Cash Flow Component Value Date of cash flow Principal Interest Principal Interest

13 Administrator application Updating of code lists 13

14 RDI Matrix for administration of processing Processing area ID Extraction Intermediate Reconciliation Cash Flow Starscheme CRIM 1 JG: Cards NO NO NO NO NO 2 JG: Clients NO NO NO 3 JG: Code list NO NO 4 JG: Collaterals NO NO NO NO NO 5 JG: Securities NO NO NO NO NO 6 JG: Deposit Accounts NO NO NO NO NO 7 JG: Derivates NO NO NO NO NO 8 JG: Loans NO NO NO NO NO 9 JG: Mortgages NO NO NO NO 10 JG: Subsudiaries NO NO 11 xcrim1: Base data EOM NO 12 xcrim2: OLAP EOM NO... 14

15 Characteristic of final RDI solution unified data structures unified level of detail (data granularity) defined reconciliation of data - auditability automated daily processing mechanism for detection of incorrect data fast availability of data for daily reports and ad-hoc analyses openness of solution possibility of import of data from other areas common technology and platform for measurement of - credit risk -market risk 15

16 Diagram of data flows after implementation of solution DWH Risk Data Infrastructure (RDI) Manual corrections of GL CRIM Daily - LOAD CRIM - TRANSFORMATION - PREPARATION Additional Data OLAP OLAP Risk Reporting Modul The SAS System Enterprise Guide Manual Data CREDIT RISK MARKET RISK REGULATORY AD-HOCK REPORTS REPORTING REPORTING REPORTING 16

17 Application - Risk Reporting Module Utility over the RDI 17

18 Application - Risk Reporting Module Function principle Tables with deals from RDI Deal number Amount... Account GL Main Code list Account GL Description Row number in report 121 Loans to central bank Current accounts in central bank Nostro accounts Loans to banks Inter-bank deposits Loro accounts Bonds in portfolio TRADING Bonds in portfolio HTM Short term loans to clients Overdrafts 04 Regular Report Row number Name... Due to central Bank Due to commercial banks Securities 04 Loans to clients... 18

19 Contribution unified consolidated data structures for reporting data quality management common mapping unified business rules automated creation of reports reduction of data sources (RDI is only 1 data source) reduction of time necessary for preparation of reports minimization of manual and not standard data entry on-line availability of data for ad-hoc analyses 19

20 VUB team Thank you for attention. 20