Risk Data Taxonomy: Difference between revisions
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Definition
Risk Data Taxonomy is a classification and documentation system for the Risk Data used by an institution.
Usage
A risk data taxonomy might be the organizing principle behind a Risk Data Inventory system.
Context
- It is related but is distinct from the concept of a Risk Taxonomy. A risk taxonomy aims to create a classification system for the risks to which an organization is exposed.
- A taxonomy is less structured than a Risk Data Ontology.
Classification Dimensions
The following are key classification dimensions of a Risk Data Taxonomy
- The Risk Data Types being captured (which in turn links the risk data taxonomy to the overall risk taxonomy). Data types generally reflect the structure of the data:
- Structured data, which in turn can be in various data structures
- Timeseries
- Panel Data
- Event Data
- Unstructured data (text, audio, video, images etc.)
- Structured data, which in turn can be in various data structures
- The use of data in risk management / decision making (e.g as risk factors, early warning indicators etc) which reflects the nature of their relationship with risk
- The temporal nature of the data:
- Static Reference Data
- Historical data (past risk events)
- Current state data (latest information available)
- Projection / Deterministic Forecast (e.g scheduled cashflows at future timepoints)
- The ownership and confidentiality of data
- Private / Confidential data
- Public Data (eg Market Data)
The above dimensions are (more or less) domain independent. For any specific risk management area that domain will further induce a classification that is related to the domain. Roughly speaking, every risk type in the Risk Taxonomy will have its own domain related classification dimensions. For example:
Credit Risk Data Subcategories
- Identification Data: e.g., company name, business code, address of registered office, legal form, date of establishment
- Accounting or Financial Data: e.g., company accounting records; Qualitative Data: E.g from review of management structures, interviews etc
- Behavioral Data: Any soft (non-legal) indicators of behaviors / attitudes
- Legal History Data: Any judicial track record of Credit History collected from courts
- Contractual Data (Financial Product data)
- (Asset) Collateral Data and more...
- Reference Data (external identifiers for markets, locations etc.)
Operational Risk Data Subcategories
- Historical Loss Data
- Event Descriptions (Actors, Actions, Assets)
- Key risk indicators and other types of Vulnerability Assessment
Market Risk Data Subcategories
- Reference Data (entities, instruments, markets)
- Prices (bid, offer, or mid-market), opening / closing etc
- Volume, other indicators of activity
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