Trade Surveillance


Initial Situation

As part of a Trade and Communication Surveillance program a large German universal bank wants to improve controls regarding market abuse by Sales as well as Treasury and Trading. The third-party software to be used is already selected. The project has strict delivery deadlines set by the bank’s commitment to the US Financial Supervisor to implement Dodd-Frank compliance for all asset classes within a given timeframe.

Project Scope

  • Improving the Trade Surveillance processes for identifying potential market abuse by Trading and Sales
  • (At least partially) decommissioning existing systems by implementation and configuration of selected third-party software
  • Best possible coverage of all market abuse scenarios and relevant product classes by appropriate configuration and parametrisation of the third-party software; specification of client specific extensions if necessary
  • Implementing a regular, regulatory compliant re-parametrisation process including performing it initially for selected alert rules

Our Contribution

  • Supporting the selection of appropriate alert rules per market abuse scenario and product class
  • Business and quantitative analysis of trade and order data w.r.t. completeness, quality, usability for trade surveillance
  • Parametrising existing rules for triggering alerts based on statistical methods
  • Specifying software extensions/new alert rules; generation of synthetic data for developer
  • Planning and executing system tests as well as supporting business in user acceptance tests
  • Bridging function between business unit and data cells 
  • Audit-proof documentation of results

Customer Benefit

The project achieved a significantly improved coverage of market abuse scenarios across all asset classes. The overall Trade Surveillance processes have been designed more efficient and reduce operational risks. Finally, the implementation closed existing regulatory gaps and is now fully compliant with corresponding essential regulatory requirements.

Relevant Skills / Tools

  • Oracle SQL
  • Python, in particular Jupyter Notebooks
  • Confluence and JIRA
  • HP ALM

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