Data spikes pose problems for risk management
Recent crises have drummed home that banks need to calculate risk exposures in as close to real time as possible. To do that, risk managers need to process huge amounts of data, but current systems often lack the capability. How can banks address this deficiency? By Clive Davidson
Traders were stunned on May 6 when the Dow Jones Industrial Average fell by nearly 1,000 points before rebounding – its biggest intra-day loss since 1987. This price action was accompanied by a surge in the number of trades and quotes on the New York Stock Exchange (NYSE) – close to 1.2 billion were recorded, compared with a daily average of between 400 million and 600 million.
Regulators and academics are now trying to work out exactly why the Dow moved so far so fast. Blame was initially put
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