Case study
Operational Risk Reporting System for
Banking Institution
The Challenge
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Automating manual tasks
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The Solution
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In-depth statistical and industry practice analysis
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Enhancement of the reporting system macros
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Front-end changes related to the reporting control panel
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visual improvements in the report templates
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and more
The Impact
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Flawless automated reports
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No need for manual error checks
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Reduced time and costs
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Extensive documentation
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Ongoing maintenance services
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The Challenge
Our client is a banking institution in the middle east with a significant focus on the corporate and financial institutions sectors, as well as having growing retail, and private bank customer base.
The Operational Risk department approached Senacea to deliver a range of services related to the Operational Risk Reporting system of the institution.
The initial consultation call led to an in-depth statistical and industry practice analysis (including Basel capital requirements) concerning the choice of Monte Carlo modelling elements, Operational VaR modelling (value at risk), and model accuracy testing among other features, which enabled generating automated reports, eliminating errors and saving hours of manual work.
The Solution
Senacea began by evaluating existing files for opportunities to automate, error-proof and standardise their use and created a bespoke solution that will be managed in-house and enable future expansion. The process of the spreadsheet system design involved:
Validation of the VBA & SQL code (10 000+ lines), Excel-based templates & computational logic behind the report calculations
In-depth statistical and industry practice analysis (including Basel capital requirements) concerning the choice of Monte Carlo modelling elements (choice of variables modelled, simulation distribution formula, sample size, significance level choice), Operational VaR modelling (value at risk), model accuracy testing (Kolmogoroff Smirnoff test)
Enhancement of the reporting system macros - adding new computational mechanisms to macros, preventing errors, allowing for troubleshooting incomplete data uploads and spotting missing data
Front-end changes related to the reporting control panel (report parameter selection mechanism, visual side of the menus)
A range of visual improvements in the report templates
Optimisation of the MS Access database including assurance of data correctness, removing potential duplicates and highlighting data formatting issues
Revision and recreation of the data uploading systems
Documentation of the report generation steps, macros, templates, reporting file, statistical concepts used & Monte Carlo simulation assumptions
The Project Impact
With the new Operational Risk Reporting system, the company now benefits from:
Flawless automated reports
No need for manual error checks
Reduced time and costs
