Master Thesis MSTR-2005-18

BibliographyDolado, Manuel Palao: Role of Data Mining in IBM's Basel II Risk Solution.
University of Stuttgart, Faculty of Computer Science, Electrical Engineering, and Information Technology, Master Thesis No. 18 (2005).
104 pages, english.

Basel II is a new standard for measuring risk published by the Bank of Inter­national Settlements (BIS) that mandates risk management reporting for interna­tional active financial institutions. There are already several approaches for the fulfilment of Basel II requirements on the market, some of them including data mining tools and some others not. This paper discusses the possible role of data mining in a generic Basel II solution and the added value it would bring to that solution in a business scenario. Basel II requirements and existing data mining tools are examined and an architecture which integrates one of these tools in a Basel II solution and shows the functionality of data mining for some of the requirements is proposed. For this purpose, a generic Basel II data model is created to simulate a Basel II data warehouse so that the performance of the resulting system can be tested. Special consideration is given to the calculation of the probabilities of default, including the development of a data mining model with this aim and the analysis of the results. This process is intended to show how other models should be developed.

Department(s)University of Stuttgart, Institute of Parallel and Distributed Systems, Applications of Parallel and Distributed Systems
Superviser(s)Mitschang, Prof. Bernhard; Schwarz, Dr. Holger
Entry dateMay 3, 2023
   Publ. Computer Science