In response to the Knight Capital loss and the HKSFC consultation on electronic trading, a leading Australasian investment bank approached GreySpark to assist in an independent review of the current risk control framework for the algorithmic trading business.
GreySpark conducted a gap analysis on the current pre- and post-trade risk controls, which was in turn cross-referenced against proprietary information and industry best practice to advise the client on control improvements.
- The GreySpark team interviewed key stakeholders including traders, support staff and compliance.
- The team completed a macro functional and technical architecture review.
- A peer review of similar organisations was conducted.
- A best practice gap analysis was conducted.
- The GreySpark team interacted with the relevant regulators to clarify requirements.
- A Strategy document;
- A best practice risk framework;
- A checklist of risk controls; and
- Control flow maps.
- The client gained an independent audit of risk management capabilities and a concise gap analysis that allowed them to focus on underdeveloped areas.
- GreySpark delivered a clear schematic and architectural representation of control points.
- GreySpark provided a consolidated risk profile for the whole of the algorithmic trading business.