The register of papers · 8 notes, 2021–2025
Field Notes on Data & Banking
Long-form technical papers on financial data engineering, credit risk modelling, back-office operations and banking architecture.
Paper no. 8LatestOperations · Queuing theory
Multi-Dimensional Task Prioritisation: A Formal Queuing Model for Banking Operations
Renegotiations, nostro breaks, and regulatory deadlines all compete for the same operational capacity. We develop a formal scoring model with five priority dimensions, a deadline amplification operator Ω, and full M/G/c queue integration—complete with starvation-freedom theorem and Python implementation.
Queuing Theory · Priority Queue · M/G/c · Python
- Published
- 12 March 2025
- Reading
- 18 minutes
7
15 January 2025
Basel IV Output Floor: Recalibrating IRB Models for the New Capital Regime
The 72.5% output floor forces IRB banks to hold capital no lower than 72.5% of what the Standardised Approach would require. RWA calculator and stress-tests across retail, SME and corporate under the transitional schedule.
Basel IV · IRB · RWA · Python
Credit risk · Regulation14 min read
6
22 August 2024
BCBS 239 Compliance: Implementing Data Lineage at Scale
Eleven principles, dozens of critical data elements, and a regulator that will ask for proof. A practitioner's guide to building automated lineage capture and a compliant data governance framework in a universal bank.
BCBS 239 · Lineage · Governance
Data governance11 min read
5
11 September 2023
Real-Time Fraud Detection with Kafka Streams and Online Feature Stores
Sub-100ms latency fraud scoring requires rethinking the entire pipeline—from feature computation to model serving. We design the architecture, implement velocity features, and benchmark champion/challenger deployment patterns.
Kafka · Flink · ML Serving
Fraud · Streaming12 min read
4
28 February 2023
Credit Scorecard Development: WoE Binning, Information Value and the Logistic Regression Pathway
Weight of Evidence transformation turns raw borrower attributes into a linear scoring space. From binning strategy through logistic regression to integer scorecard points, with full Python implementation and validation using Gini, KS and PSI.
WoE / IV · Logistic Reg. · Python
Credit risk · Modelling16 min read
3
21 June 2022
Building a Nostro Reconciliation Engine: MT940 Parsing, Fuzzy Matching and Break Management
Banks hold correspondent accounts (nostro) at hundreds of counterparties. Each day, SWIFT MT940 statements arrive with transaction records that must be matched to internal ledgers. We build the full pipeline in Python with configurable tolerance rules.
SWIFT · MT940 · Reconciliation
Back office · SWIFT13 min read
2
3 November 2021
Daily P&L Attribution in Fixed Income: Greeks, Carry and the Unexplained Residual
Every trading day, the middle office must explain why the portfolio made or lost money. We decompose daily P&L into rate delta, theta, convexity, carry and FX components—and discuss what the unexplained residual tells you about your risk models.
P&L Explain · Greeks · Fixed Income
Middle office · P&L15 min read
1
14 April 2021
Anatomy of a POS Transaction: From Terminal Swipe to Core Banking Settlement
A card payment takes roughly 1.8 seconds. In that time, an ISO 8583 message traverses acquirer, card scheme, issuer processor and core banking. We dissect every hop—fields, timing, authorization logic and the T+1 clearing cycle.
ISO 8583 · Authorization · Settlement
Payments · ISO 858310 min read
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