Risk Markets Technology Awards 2021: Counterparty risk product
Counterparty risk product of the year: Murex
MX.3 for Enterprise Credit Risk features advanced Monte Carlo simulation of potential future exposure, analytical pre-settlement risk measures, regulatory credit valuation adjustment (CVA) capital charges, CVA for the International Financial Reporting Standard 13 accounting regulation, and internal credit limit monitoring.
Among the benefits offered by the solution are centralised credit exposure and limit monitoring across trading systems and entities in batch and real-time modes, accurate credit risk measures across all asset classes in real time, and end-to-end automation of credit workflows such as limit approvals and excesses. Transparency and control of calculations are provided through online dashboards with extensive data visualisation features and drilldown capabilities to sublevels, such as branches, subsidiaries, agreements, instrument types, risk factors and transactions.
A rigorous approach to wrong-way risk between underlying portfolio and counterparty creditworthiness allows for the risk to be captured in simulations using stochastic default intensity of counterparties correlated with other risk factors.
The solution can be delivered as an integrated part of an MX.3 platform, or as a stand-alone system, and either on premises or in the cloud. To cope with the huge computational demands of counterparty credit risk, Murex has optimised its calculation algorithms and leverages graph programming and the processing power of GPU and cloud technologies.
Judges said:
- “A first-rate counterparty credit risk product, available integrated into MX.3 or stand-alone. The company has done significant work on the various valuation adjustments, as well as wrong-way risk, which usually gets far too little attention.”
- “The functionality and coverage Murex offers is excellent, and it keeps innovating and developing what clients need at a granular level.”
Marwan Tabet, head of product evolution for enterprise risk management, Murex, says:
“We are very proud of and grateful for this award. It is a recognition of the dedication and hard work of our teams, as well as our large investment in the platform. This year, once again, we have rolled out a considerable number of new developments to clients, ranging from new counterparty credit risk analytics in our Monte Carlo engine, to enhanced packages that streamline the implementation of regulations such as the standardised approach to counterparty credit risk. At the same time, we are introducing new technologies and evolving our architecture to offer our clients best-in-class performance and scaling capabilities.”
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