This paper is speaking to
the Middle Office function, controlling Market Risk in an Investment Bank,
particularly of the first tier. Analogously then It speaks to the similar
function in Asset Management or Life Assurance, it is concerned with issues of
compliance and transparency in particular Basel III, IFRS7 and Solvency 2.In a market
risk legacy technology environment which has systematically failed to deliver
information visibility levels capable of keeping pace with the new velocity,
volume, volatility and complexity of international capital markets; this paper
addresses viable alternate solutions available within reach of the latest
generation of ultra fast tactical advanced risk modelling and reporting
technologies and presents a coherent alternative eliminating or significantly
reducing the need for the drastic measures currently under discussion.
The volatility zone exists T-0 for however long it may be until the T-1 position risk reports have been fully modelled and analysed in a multi hour/day batch process of typically 10 – 30 hours post reconciliation T-1. The effective solution to these challenges has been developed by Siag working in legacy environments with a correspondent understanding of the issues to be addressed and the technical complexities associated with any implementation of a coherent and effective solution. A viable solution must not demand total core system renewal and yet must satisfactorily resolve all of these risks and deficiencies in a technologically advanced and comprehensive manner within the existing client system landscape.