Test Automation for Risk Management Systems

Structure of RM Systems

Four main inputs contribute to the efficient running of Risk Management systems:

  1. Trading data: Timely delivery of trading data is important to avoid missing significant changes in a position or changes in important parameters of existing deals
  2. Real time market data: Current market data are essential for calculations; independent feeds should be used to establish objective and authoritative valuations
  3. Static data: The way financial instruments are defined plays a leading rde in instrument analytics, because instruments with similar names may have different trading and valuation characteristics. Reference data are used to classify trades, to maintain trading hierarchies, to review positions in different contexts, to separate proprietary from trading positions and to aggregate instruments according to user-defined instrument types
  4. System settings: Are applied when the system is installed and may only be changed by system administrators. Settings are most complicated in globally-customizable applications, where a change in one setting can impact many or all processes in the system overall. Correct settings and thorough control are critical for success

These inputs are utilized by different analysis and control systems (such as Risk Monitoring & Control, Collateral Management, Limit Management, Cash Management, Inventory).

Some calculations applied at the risk reporting level can also be used by the Limit Management system or can be calculated separately. Different functions can be implemented in one system.