Background

There can be a number of circumstances where a financial institution acquires risk positions that cannot be easily valued with reference to third party information after trade date.  The financial institution is typically forced to rely on the original trader of this instrument thereby allowing him to determine his own ongoing profit or loss.

In such situations, regulators, auditors, shareholders and risk managers would all share concerns over liquidity risk and the vulnerability from relying on parties that may not be completely independent.

Description

benchMARK allows users to assess the consistency of and validate marks by identifying benchmark trades and measuring the degree of divergence of marks from these benchmark trades based on the user’s existing data sources.

benchMARK can import trade and mark information from a variety of sources (both internal and external), and configure specific tests to systematically analyse and check the internal consistency of trader prices and marks through time, highlighting unusual or inconsistent mark behaviour.

Key features

Platform agnostic – can take in data from a variety of sources and be integrated easily into existing architecture
Easy to identify problem trades – unusual trade behaviour can be is viewed graphically as well as via the underlying data, with sufficient detail that remedial action can be taken
Highly customisable to suit the asset type – uses a flexible, user calibrated pattern discovery system
User friendly visual interface allows clients to visualise movements between marks.

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