Single Source Market Risk System

Challenge

A top European investment bank had inconsistent reporting between risk and front office due to number of factors including: market data sources; methodology, system processes and hierarchies. A unified and common risk reporting was required by senior management across functions.

Solution

  • CPRA’s initial engagement focused on rates assets and determined:
    – Existing front office risk information process and rationale
    – Front office requirements for the new source for official market risk information
    – A significant surplus of reports that were not required and
    – The migration path for each area of the business.
  • CPRA was selected to support this project due to its extensive front office risk and structuring experience and its understanding of both front office and market risk departments’ environments.
  • Deliverables included:
    – A detailed mapping of the current universe of risk information and reporting produced within front office
    – A matrix description of the current and desired business user requirements.
    – A comparison between the middle and front office reporting matrices.

Result

Our client subsequently requested CPRA to design an appropriate risk dashboard that would meet the Business User Requirements of both front office and market risk.