ERM system of the year
Murex’s MX.3 cross-asset cross-function platform offers a modular suite of solutions to cover credit, market and liquidity risk, as well as margining and risk control, including limit management. Packaged business modules sharing common data management and integration layers are available for a number of key Basel III regulations and related business requirements, such as the Fundamental Review of the Trading Book (FRTB), the standard approach to counterparty credit risk (SA-CCR), the standard initial margin model (Simm) for non-cleared derivatives and various valuation adjustments for derivatives contracts (XVA).
For FRTB, for example, MX.3’s single underlying platform provides consistent data modelling and common calculation engines for trading and risk, while its profit-and-loss variance and backtesting function is a key enabler for internal method regulatory approval. Furthermore, the platform’s high performance, achieved with computing grids, hybrid architectures of conventional and specialist parallel processors, and in-memory aggregation, help banks cope with the enormous regulatory calculation burdens.
For credit risk, data such as counterparties, obligor or country hierarchies, netting and collateral agreements, and ratings is shared across all MX.3 modules, giving the risk engine full access to all legal agreement parameters when determining netting sets and simulating collateral movements. Credit exposure calculations include analytical exposure methods, Monte Carlo potential future exposure and expected positive exposure.
Murex continues to invest heavily in the development of MX.3, both in its business functionality and underlying technology. Over the past 12 months, the company has extended MX.3’s support for enterprise risk management (ERM) in a number of ways, including improving risk governance with a revamped pre‑trade compliance engine, enhancing wrong‑way risk modelling with stochastic credit spread diffusion, adding functionality for stress testing and hedging credit value adjustment, and adding funding value adjustment sensitivities to risk factors and funding curves. New components include MX.3 for analytics and model validation that initially supports foreign exchange derivatives products, and MX.3 trade data synchronisation, which facilitates the smooth retrieval of positions from various source systems to feed ERM operations.
Murex’s risk management modules are fully integrated with MX.3’s front‑office tools, or can be integrated with in-house or third-party trading and banking systems. MX.3 is is widely used in capital markets, from regional banks to Tier 1 investment banks, with more than half its 250 users deploying its ERM functionality.
Marwan Tabet, head of ERM practice at Murex, says: “Murex has invested massively over the last few years to deliver an ERM solution that eases the regulatory burden of financial institutions across the globe. Our offer includes pre-packaged solutions for FRTB, SA-CCR and Simm. We bridge the gap between the front office and risk management, enabling capital markets players to implement and integrate complex business processes across the entire trading chain to actively manage the total cost of trading, thanks to XVA, and to optimise capital.”
“Comprehensive offering across risk types”
“Covers not only different risk types, but also different parts of the bank, including front office, back office, collateral and margining”
“Murex has expanded MX.3 beyond lifecycle transaction management to cover important requirements such as FRTB, SA‑CCR and XVA”