CP10 (Full Document) - European Banking Authority

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4.3.3. Data 438. The CRD requires data to be held and stored for several different purposes. The various databases and datasets could be differentiated according to the purposes they are meant to support: · Those used to build models based on the institution’s own internal riskmeasurement systems for the purpose of calculating the own funds requirement (Article 105(1); · Those that enable regular reporting of operational risk exposures and loss experience (Annex X, Part 3, Paragraph 4); · Those used for the internal generation of operational risk measures, based on a corresponding historical observation period (Annex X, Part 3, Paragraph 13); · Those used to map internal loss data into business lines and event types, and to record operational riskrelated credit and market risk losses (Annex X, Part 3, Paragraph 14); · Those used in collecting various information about event types(Annex X, Part 3, Paragraph 16); · Those used in collecting data from external sources(Annex X, Part 3, Paragraph 19). IT systems 439. Institutions’ physical databases need not be built to address each of these purposes separately, but may contain data relating to a mix of purposes. 440. Institutions should have an IT systems that ensures: · Appropriate availability and maintenance of all relevant databases; · Appropriate modelling and computing capacity at all times; and · Appropriate controls on the datacapture process. 441. These IT systems should be included in the institution’s general contingency plans, in order to guarantee the recovery of the information. Established controls should prevent access by unauthorised people and ensure the integrity of the data. Data quality standards 442. To ensure data quality, Internal Audit should conduct at least the following: · a regular review of controls; · a review of the system forcross checking operational loss data with material accounting data. 443. Institutions should perform consistency checks that include an audit trail of data sources, total and record count checks when data move Page 104 of 123
etween systems, recording of data that are excluded or introduced at different stages of data manipulation, etc. Significant discrepancies should be investigated. 444. Institutions should work on an ongoing basis to ensure that their data is of good enough quality to support their risk management processes and to calculate their capital requirements. 445. Institutions should define their own standards for ensuring data quality and should look to develop and improve these over time. It is the institutions' responsibility to ensure the quality of their data. The institutions should be able to demonstrate that they achieve high standards in terms of coverage, completeness and correctness of their data. Examples of activities aiming to improve the data quality standards are: · the construction of decision trees to assign losses to event type and business lines; · the computation of average time between when loss events occurred and when they are captured; · the review of the structure of input data to identify outliers or implausible values and changes from previous periods; · periodic cross checking against material accounting data with institutions needing to identify and explain material divergences. 446. There should be minimum checks by an independent function to ensure that internal data are comprehensive and external data are relevant. Supervisors could assess specific parts of this process to verify the conclusions reached by the independent function. 447. Institutions should have policies concerning their tolerance for any gaps in their internal data. They should also be able to fully justify their approaches to adjusting values. Data documentation 448. While all the relevant documentation should be available for assessment by supervisors, the following types of documentation are essential: · Data policy and statement of responsibility: Institutions should establish an explicit data policy. · Institutions should document workflows, procedures and systems related to data collection and data storage. · Data directory: Institutions should have clear definitions of data items that are made available for inspection by supervisors. · Database descriptions: <strong>Document</strong>ation for material databases should be sufficient to allow institutions to provide supervisors Page 105 of 123
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CEBS CP 10 11 July 2005 Guidelines
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ANNEXES ...........................
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to use these approaches. 6. The gui
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IRB approach can be given only if t
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approaches for regulatory purposes
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purposes, when the group has submit
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efficient running of the process, u
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and/or 105 of the CRD, subject to t
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58. Institutions intending to move
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translated, supervisors will organi
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76. The issues that supervisors are
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holding company, the competent auth
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· A new approval process shall not
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· Institutions may not be ready to
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2. Asking institutions to notify su
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116. ‘Immaterial’ should refer
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128. The EU Council has proposed th
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should start with inputs, and those
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to be only broadly compliant with t
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institutions to be able to identify
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differentiated if their loss rates
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payments are originating from the s
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any of its subsidiaries in full, wi
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197. As a general rule, the rating
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· Their discounting method results
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grades. In this case, all of the re
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Page 55 and 56: 228. In principle, supervisors do n
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Page 67 and 68: terms) the proof of consistency wit
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Page 83 and 84: Benchmarking the outputs of interna
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