Project Adverse Audit

Context

Internal audit asked whether quoted spreads reflected fair compensation for risk or concealed persistent adverse selection on certain client flows.

Approach

1. Replicate standard decomposition (e.g. effective vs realised spread) with desk-specific trade classification.
2. Stress-test robustness to time-of-day and event windows.
3. Interview traders; reconcile narratives with statistics.

Outcomes

• Signed-off appendix for audit file.
• Desk adjusted tiering on two client segments following review.