Risk Markets Technology Awards 2021: Trading systems – Equities
Trading systems – Equities: Murex
MX.3 for Equity Derivatives Trading offers a range of flexible and open solutions for equity derivatives trading, from delta one to exotic desks, and from highly structured products to flow business. Embodying market best practices, the platform includes powerful analytics, volatility modelling and comprehensive product coverage, including exchange-traded funds (ETFs), accumulators, convertible bonds and autocallables.
MX.3 provides a wide coverage of equities payouts supporting cash, listed, standard and specialised OTC derivatives, including specific regional requirements. Clients can extend the catalogue of pre-packaged instruments by defining their own payouts scripted in Python, with the new products automatically integrated into the post-trade processing chain. Pricing and a risk application programming interface can be used to integrate external client or third-party models. Murex also provides model validation capabilities to minimise model risk and validation costs, reduce time to market and aid compliance.
To its extensive analytics, Murex recently added a local stochastic volatility model that can be used as an alternative for pricing. Various methods are supported for the calibration of the volatility, including stochastic volatility inspired, quadratic+ and stochastic alpha beta rho.
Real-time portfolio management includes summary views of positions and the ability to zoom in on risk factors, such as vega topography, foreign exchange delta and vega, and dividend and repo risk. Dedicated views allow monitoring of discontinuities and events, such as barriers, fixings, dividends and expiries.
Judges said:
- “Murex’s differentiation from its competitors is credible not so much in its individual components, but rather in the aggregation of all the components it offers.”
- “Excellent pricing and risk analytics, delivered at scale, while still innovating, which clients clearly appreciate.”
Jean-Baptiste Dusson, head of equity derivatives product management, Murex, says:
“There are three stand-out elements that make the MX.3 platform the software solution of choice for equities. First, we provide a rich catalogue of pricing models for cash, listed, standard and specific OTC derivatives, including regional requirements, as well as integrated front-to-back-to-risk support. Many variations of the autocallables are fully integrated into our platform. Second, we keep enriching our powerful analytics, for example by adding a local stochastic volatility model, which can be used as an alternative for pricing. Our clients can also integrate their own analytics seamlessly, thanks to the open nature of our platform. Finally, Murex’s consolidated real-time portfolio management capabilities are especially important for empowering traders to make informed decisions in a timely manner when it comes to posting hedges or managing risks.”
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