Risk Markets Technology Awards 2021: Pricing and analytics – structured products/cross-asset

Stephane Remille, Murex
Stephane Remille, Murex
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Pricing and analytics – structured products/cross-asset: Murex

Murex’s integrated MX.3 platform offers a comprehensive solution for structuring, pricing, issuing, distributing, risk managing and handling back-office workflows across asset classes, while retaining in-depth specialisation in individual instruments. 

The platform comes with an extensive cross-asset catalogue of more than 350 instruments and analytics, including equity autocallables, FX target redemption notes, hybrid power reverse dual-currency structures, and interest rate Bermuda swaptions and cancellable reverse floaters. All instruments are supported by market-standard models that are fully validated and can take advantage of graphics processing unit (GPU) computational power. A payout language allows customers to create new products using scripts in the Python language that are then seamlessly integrated into the platform. 

Timely and cost-effective model validation is supported, with documentation for each model detailing numerical implementation, model behaviours based on up-to-date market data, and tools to industrialise recurring model validation cycles. Real-time portfolio management includes specialised market practice for each business line, such as risk-based P&L for interest rate options, which captures portfolio convexity through pre-computed slice scenarios in rates; equity risk matrices for spot, volatility and dividend ladders; smile analysis and delta hedge screens for FX options; and barrier management dashboards for autocallables.

Judges said:

  • “Murex’s product coverage is extensive and its model development continues to add value.”
  • “The company has made significant improvements to its offering in the past 12 months, especially given the Covid‑19 environment.”

Stephane Remille, head of product evolution for trading and analytics, Murex, says:

“Murex differentiates itself with dedicated product committees, quants and model validation experts in each asset class, and offers a comprehensive cross-asset catalogue of instruments and analytics out of the box that is continuously evolving to meet time-to-market expectations. Each structured product comes with a best practice model. High performance is standard – our analytics library was the first to be fully GPU-enabled for all asset classes – and model validation costs are slashed thanks to documentation packages and tools to industrialise recurring model validation cycles. Finally, the complex products are integrated along the whole value chain from distribution, pricing and risk management through to back-office business processes.”

 

Read more articles from the Risk Markets Technology Awards 2021 winners’ review

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