Mike Hepburn Managing Director of Hyper Rig
Mike Hepburn Managing Director of Hyper Rig

Leveraging next generation technology for real-time risk management in FX

FX market volatility has been declining since late 2008 when currencies witnessed some of their biggest single-day moves ever. But everyone is acutely aware of how quickly volatility can return. With FX trading volume now exceeding $4 trillion daily (BIS 2010 Survey) and the reality that Tier One banks such as Lehman Brothers can disappear overnight, the stakes have never been higher for FX traders. Accurately measuring and understanding your FX exposure has therefore taken on ever greater importance.

David Murrin, Chief Investment Officer of Emergent Asset Management which runs a discretionary global currency hedge fund sums up the need for real time risk reporting succinctly, “If you cannot see it, you cannot control it.” The technological challenges to provide real-time risk reporting to both traders and risk managers has been well known for years. Historically, the main challenges to achieving this elusive goal have been twofold. Firstly, the inability to effectively aggregate multiple trade and price sources and secondly, the inability to tackle the ever growing volume of calculations required for real-time risk reporting.   Typically, it was only the global Tier One banks that had the financial strength and technical resources to build in-house solutions capable of providing true real time risk capabilities. However, technological advances around data virtualization, smart batching, dependency tree management and grid optimisation have now made the move from end of day risk...continued

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