Pre-Trade Risk Controls Review

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.

1. The GreySpark team interviewed key stakeholders including traders, support staff and compliance.
2. The team completed a macro functional and technical architecture review.
3. A peer review of similar organisations was conducted.
4. A best practice gap analysis was conducted.
5. The GreySpark team interacted with the relevant regulators to clarify requirements.

GreySpark delivered:

• 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.