Saturday, July 24, 2010

market risk systems -- front office or back office?

Some say the risk manager's job begins when the trader's job is done. Robert said no. Better trading firms maintain real time risk system so risk can be assessed before execution. Most pre-trade calculations (pricing and quantity) are risk-bound. How much can you lend to anyone and at what rate and repayment frequency? What price do you buy/sell/bid/offer anything? But these are not the most well-known risk systems -- consider the opening remark.

I believe the meanings of "market risk system" are wide ranging. Looks like the #1 core component is valuation, and other fundamental components include

* VaR
* scenario/stress testing -- GSS risk

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin