The client was the Brexit entity of a global investment bank (i.e. the new entity created within the European Union). Avantage Reply assisted the client in putting together an end-to-end project plan and roadmap covering data lineage for market, credit and liquidity risk to satisfy the BCBS 239 requirements. The focus was on (a) the definition of core data concepts and critical data elements, data quality metrics and KPIs followed by (b) a gap assessment against regulatory requirements and internal standards and finally (c) remediating the gaps.
The client, a leading global investment bank, wanted to define and capture data lineage for key market risk, credit risk and liquidity risk metrics in order to meet the regulatory requirements stemmed from BCBS 239, MaRisk (i.e. German Minimum Requirements for Risk Management) and the ECB Guide to Internal Models. The key challenges were the definition of a common data lineage template to capture feeds, controls and transformations for market, credit and liquidity risk.
Avantage Reply assisted the client in:
The roadmap allowed the client to quickly mobilise the required stakeholders to ensure compliance with the BCBS 239 requirements for data lineage, as well as German-specific regulatory requirements.