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Algorithm Risk Management (ARM) Governance Policies, Standards, and ATP Validation Infrastructure

By 30 Aug, 2017April 24th, 2018Case Studies, Risk Management


US Investment Bank


Back-office; Compliance; Electronic Trading; Front-office; Market Risk

Asset Class





4 months

The Ask

Under the obligations set out by the OCC and CFTC, the client required assistance in developing the foundation elements for an Algorithm Risk Management (ARM) framework.

In order to improve the organisation’s ability to validate and develop algorithms and trading tools, it was necessary to establish a new governance framework and standards to provide the client with the elements necessary for a cohesive set of ARM Policies and Standards.

The formation of the ARM Council was then charged with the authority to uphold the ARM Charter, which mandated the establishment of the ARM Policies and Standards across asset classes where Electronic Trading is a horizontal function.


GreySpark helped the client to remediate gaps in their Electronic Trading self-disclosure documentation.

A team of experienced subject matter experts in risk management and electronic trading was deployed. For each algorithm, the team completed the following steps:

  1. Engaged extensively with sponsors to drive the project and manage the stakeholders.
  2. Conducted a series of in-depth studies with relevant business and technology stakeholders.
  3. Developed a detailed documentation schedule as the backbone of organisational, technological and regulatory analysis.
  4. Leveraged consultants’ experience and market knowledge to perform functional roles as defined by the programme.


GreySpark targeted the Securities, FX and Equities business across all functional lines. The final  project output included:

  • ARM Council Charter;
  • ARM Governance Framework;
  • ARM Policies & Standards;
  • ARM Validation Handbook;
  • Algorithm Kill Switch Playbook;
  • Algorithm Inventory;
  • Algorithm Executive Summary & Playbooks;
  • Manual Work-flow Tool; and
  • ARM Project Delivery Plans.

GreySpark Delivered Benefits

  • GreySpark successfully assisted in the implementation of the ARM Council with a clear mandate to operate from.
  • The client gained confidence that the ARM Governance Framework would scale with increasing sophistication.
  • The client benefitted from an investigation of an automated workflow tool that helped the bank to adhere to the newly formed ARM Policies and Standards and brought a significant cost reduction in future audit exercises.
  • As a result of the work, the client was able to satisfy the OCC / CFTC auditors with self-disclosure documentation meeting the auditors’ timescales and quality standards.

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