Development of an Applied Data Mart of Bank’s Risk Indicators for the Purpose of Generating Regulatory Reporting

Banks take on numerous risks. Risk is the uncertainty associated with an event. It was always one of the attributes of the banking business. As part of credit risk management, banks send regulatory reports to the authorities. To implement such risk reporting, it is necessary to ensure the historicity and consistency of data. All this is possible when developing a risk data mart. The object of the study is a Russian bank. The subject - regulatory requirements for financial organizations. The purpose of this work is to develop a credit-risk data mart for regulatory reporting purpose. The first chapter includes analysis of the subject area, including the requirements of the Basel Committee. In the second chapter, the current DWH architecture is analyzed, its target state is determined, a conceptual data model of the storefront is formed, and the final list of calculated attributes of risk indicators is determined. In the third chapter a practical solution to the problem of this work is implemented. According to the generated algorithms, the process of implementing streaming data is described, DDL scripts are formed, the development of data streams using ETL tool is described.