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Real-time risk gaps exposing institutions to intraday dangers

September 6, 2011 - Financial institutions are struggling to calculate market and credit risk in real time, posing an intraday risk to their business operations, according to research carried out by analytics vendor Quartet FS.

The research, conducted among two dozen top-flight institutions, finds that barely one-in-five can calculate market risk on each new deal in less than 10 seconds, with 40% relying on overnight calculations.

For credit risk, none of the respondents could manage sub-10 second calculations for credit valuation adjustments, with 79% resorting to overnight runs. Only 15% of the surveyed institutions could measure potential future exposure in near-real time, with 55% having to wait for overnight calculations.

Xavier Bellouard, co-founder at Quartet FS, comments: "The business implications of these findings are clear: the majority of financial institutions cannot calculate the true risk of new deals to their business intraday which means that they continue to work with stale, inaccurate data."

The burden of regulatory pressure is seen as the strongest reason to innovate in risk management, but the systems in place for measuring risk are deemed either too slow or inflexible to deal with today's exacting market requirements.

Despite the failings, the research found that links between the risk management function and the board at the top end, and traders in the front office, have grown stronger.

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