Andrés Aldaz
Banking Consultant
Consulting for banks on capital, risk data and the quiet machinery of the back office.
- Practice
- Risk, regulation & data
- Papers
- Eight published notes
- Languages
- English & Español
- Based in
- Valencia, Spain
Lexicon of the practiceDecorative · not market data
The Practice
Between the business and its systemsValencia
A bank is judged on figures it must be able to explain: to its board, to its supervisor, and to itself. My work sits at that point, between the business that owns a question and the systems that have to answer it.
I am a banking consultant based in Valencia. My background is business analysis in the consulting practice of Sopra Steria, built on an engineering and technology education at the Universitat Politècnica de València.
The craft is the full requirements lifecycle (stakeholder workshops and process modelling through to specification, acceptance criteria and go-live), applied to the subjects banks cannot afford to get approximately right: capital, risk data, reconciliation, payments and the daily explanation of P&L.
Alongside the practice I publish long-form notes on these subjects, written for practitioners and accompanied by working models.
- Papers published
- 8
- Practice areas
- 6
- Stages of a mandate
- 5
- Working languages
- 2
Practice Areas
Six subjects, one disciplineBasel IV and CRR3 capital calculations, the output floor and its effect on IRB portfolios; credit scorecard development, from Weight of Evidence binning and Information Value to logistic regression and validation by Gini, KS and PSI.
- Related papers
- Basel IV Output Floor
- Credit Scorecard Development
Terms of the area
- Output floor
- IRB risk-weighted assets may not fall below 72.5% of the Standardised Approach, phased in from 50% in 2025.
- Weight of Evidence
- The log of a bin's share of goods over its share of bads; it puts every attribute on one linear scale.
- PSI
- Population Stability Index: how far today's applicants have drifted from the development sample.
BCBS 239 in practice: critical data elements, automated lineage capture and a data governance framework that produces the evidence a supervisor will ask to see.
- Related papers
- BCBS 239: Data Lineage at Scale
Terms of the area
- BCBS 239
- The Basel Committee's principles for risk data aggregation and risk reporting; eleven of them apply to banks.
- Critical data element
- A data item whose error would materially change a risk figure reported to the board or the supervisor.
- Lineage
- The recorded path of a figure from its source system, through each transformation, to the report.
Nostro reconciliation from SWIFT MT940 statements, tolerance-based matching, break ageing and straight-through processing; prioritising operational work against capacity and regulatory deadlines.
Terms of the area
- Nostro
- Our account at a correspondent bank, in its currency; its statement must agree with our own ledger.
- MT940
- The SWIFT customer statement message: balances plus one :61: line for each booked movement.
- Break
- An item no matching rule can pair; it is aged from its value date and escalated.
The life of a card payment from terminal to core banking (ISO 8583, authorisation, clearing and settlement) and real-time fraud scoring on streaming data.
- Related papers
- Anatomy of a POS Transaction
- Real-Time Fraud Detection
Terms of the area
- ISO 8583
- The message standard behind card authorisations: a type indicator, a bitmap and numbered data fields.
- Authorisation
- The issuer's real-time approval of a card payment; the money itself moves later, at clearing and settlement.
- Velocity feature
- A count or sum over a sliding window, such as transactions per card in the last hour.
Daily P&L attribution in fixed income: rates delta, convexity, theta, carry and FX, and what the unexplained residual says about the risk models behind them.
- Related papers
- Daily P&L Attribution in Fixed Income
Terms of the area
- P&L explain
- The daily attribution of a portfolio's change in value to the market factors that caused it.
- DV01
- The change in value for a one-basis-point move in yields; the core of the rate delta.
- Unexplained residual
- Whatever the attribution cannot assign; it stays small when the risk models capture the book.
Requirements engineering, BPMN process models (AS-IS and TO-BE), gap and impact analysis, SQL and data analysis, and delivery alongside architecture, development and QA teams in agile programmes.
- Method
- The conduct of a mandate
Terms of the area
- BPMN
- Business Process Model and Notation: the standard for drawing processes as they are and as they should be.
- Gap analysis
- A structured comparison of the current and target states, listing what must change to close the gap.
- Acceptance criteria
- The testable conditions, agreed before the build, under which a requirement counts as done.
The Conduct of a Mandate
From first conversation to go-liveEvery engagement follows the same discipline: understand the business before the system, write down what is agreed, and stay until it works in production.
- Elicitation
Workshops with executive and operational audiences to establish what the business actually needs.
- Analysis
Process analysis in BPMN: the current state as it is, the target state as it should be, and the gap between them.
- Specification
Requirements, use cases and user stories, documented and managed across multi-sprint delivery cycles.
- Delivery
Close collaboration with architecture, development and QA teams in scaled agile frameworks.
- Acceptance
Acceptance criteria defined up front, with support through UAT and the go-live itself.
Working Plates
Illustrative, on invented figuresThree small working models taken from the papers. Each runs on invented figures and simplified rules: they show how a mechanism behaves, not where any institution's numbers stand.
Illustrative · invented figures
When the output floor binds
Risk-weighted assets under internal models may not fall below a set share of the Standardised Approach. Move the model figure and the phase-in year to see where model savings stop being recognised.
Simplified: one portfolio with SA RWA indexed to 100; transitional caps and other adjustments are ignored.
Read note no. 7Illustrative · invented figures
Matching a nostro statement
Lines from an MT940 statement are paired with the internal ledger by rules applied in order, from exact reference to fuzzy reference. Whatever no rule can pair becomes a break, to be aged and investigated.
- Exact reference
- Exact amount and value date
- Amount within ±0.01, date ±1 day
- Fuzzy reference, edit distance ≤ 2
- No rule applies: a break
Invented lines; the rule order follows the paper.
Read note no. 3Statement · MT940
Internal ledger
Illustrative · invented figures
Explaining a day's P&L
The daily P&L of a fixed-income book, split into rate delta, carry, convexity, FX and new trades. What cannot be attributed is the unexplained residual; the paper's rule of thumb keeps it under 5% of the total.
Invented book; the rally uses the paper's example of a DV01 of €42,000.
Read note no. 2Published Papers
Notes for practitioners, 2021–2025Multi-Dimensional Task Prioritisation: A Formal Queuing Model for Banking Operations
Renegotiations, nostro breaks and regulatory deadlines all compete for the same operational capacity. A formal scoring model with five priority dimensions, a deadline amplification operator and M/G/c queue integration, complete with a starvation-freedom proof.
- Published
- 12 March 2025
- Reading
- 18 minutes
- Method
- M/G/c queues, Python
Correspondence
In writingFor engagements, introductions, or a reply to one of the papers, a letter is the right place to begin.
Messages sent here reach me directly and are read in confidence.
Correspondence may be written in English or Spanish.
- Subjects
- Capital, risk data, reconciliation, payments, P&L
- Languages
- English · Español
- Based in
- Valencia, Spain