ECB published statistics paper series on supervisory and statistical granular data modeling at the Croatian National Bank (CNB). Croatia is one the countries that has already implemented integrated statistical and supervisory reporting requirements at a granular level. This article discusses granular data modeling for the purpose of statistical, supervisory, and ECB reporting and analysis.
The paper highlights that Croatia has been able to produce a local “AnaCredit” system on a loan-by-loan basis for legal entities and non-residents, and, at an aggregate level, for households, other non-residents, and small businesses, using the same underlying data as for statistical and prudential reporting. The Croatian granular data system at a counterparty level was developed in 2007/2008 and one of the most important deliverables of the project was the CNB Banks’ Integrated Reporting Dictionary (BIRD), a document in which all attributes collected by the system are listed, organized into categories, described, and explained, and where examples and the methodologies used are provided. In Croatia, the CNB BIRD is mandatory for all credit institutions and it has been enforced on the financial market, following a decision of the Croatian National Bank Governor.
The paper also examines the design and advantages of the CNB reporting system, which is considered to be a great success and is one of the most granular and most flexible central bank reporting systems in the EU. The system is used to support supervision and to produce many additional key performance indicators set by Supervision and calculated at the CNB. Supervision reports include, but are not limited to, report on balance sheet and off-balance-sheet items, credit risk exposure by risk categories, and holdings in the capital of an undertaking. Collecting reporting templates is more cost-effective in terms of the time, personnel, hardware, and software needed for data collection, storage, revision, data transformation, analysis, and dissemination. The biggest advantage of using a granular collection system is the ability to use the reported granular data, conveniently stored in the data warehouse, when carrying out drill-down investigations or producing sophisticated analyses in the areas of research and financial stability at the central bank. Additionally, these data have been extensively used for performing state-of-the-art financial stability analyses, for both public and internal purposes. The next level for the CNB is to enrich granular data with many different data sources at the counterparty level, such as financial agency data from the leading company in Croatia in the field of financial mediation and quality business information, to be able to push data science analyses further and beyond.
Related Link: Statistics Paper Series (PDF)
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