Murex Announces an Enterprise FRTB Solution as Part of Its MX.3 Risk and Regulatory Suite
Murex, the leading provider of integrated trading, risk management and processing solutions, announces a packaged solution to address the Basel Committee on Banking Supervision's new minimum capital requirements for market risk. The requirements follow the BCBS's recent Fundamental Review of the Trading Book (FRTB), also known as BCBS 352.
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“MX.3 for Capital Charges: FRTB” delivers both the Standard Approach (SA) and the Internal Model Approach (IMA) capital calculations to help banks meet the Basel committee’s compliance deadline of January 1st, 2019. The solution covers all asset classes across the full FRTB’s calculation chain. It flexibly adapts to a bank’s infrastructure by offering an advanced integration framework for importing positions, sensitivities or P&L vectors.
For SA, the solution calculates the required curvature and sensitivities for all instruments, including complex exotic products. It delivers packaged aggregation for the FRTB’s bucketing rules, as well as the Default Risk Charge (SA-DRC) and the residual risk add-on.
For IMA, the solution computes stressed Expected Shortfall (ES) by risk factor and liquidity horizon, Non-Modellable Risk Factors stress tests, and Default Risk Charge (IMA-DRC). It addresses historical data quality issues via a proxy management framework for scenario generation.
“FRTB is a game changer for risk systems. Convergence between Front Office and Risk methodologies is becoming the new norm. Our solution closes the gap between Front Office and Risk, allowing our clients to comply with the complex regulatory approval process of Backtesting and P&L attribution” comments Marwan Tabet, Head of Murex Enterprise Risk Product Division. “We have designed a high-performance market risk framework by using the latest technologies, such as GPUs and in-memory aggregation, and by leveraging our deep expertise in trading analytics. Our objective is to provide our clients with a solution that allows them to start implementing FRTB in 2016 and rapidly anticipate business impacts” adds Tabet.
“MX.3 for Capital Charges: FRTB” is part of the Murex Risk and Regulatory Suite, a comprehensive framework that enables financial institutions to build an overall strategy for regulatory and internal risk management, leveraging synergies in calculation engines, data and technology. The suite also includes solutions for CVA Capital Charge and SA-CCR.
Since its creation in 1986, Murex has played a key role in proposing effective technology as a catalyst for growth and innovation in capital markets, through the design and implementation of integrated trading, portfolio management, risk management, processing and post-trade platforms.
Driven by innovation, Murex’s MX.3 Front-to-Back-to-Risk platform leverages the firm’s collective experience and expertise, accumulated through its strategic client partnerships, to offer an unrivalled asset class coverage and best-of-breed business solutions at every step of the financial trade lifecycle.
Clients worldwide benefit from the MX.3 platform’s modular set of business solutions, specifically designed to solve the multi-faceted challenges of a transforming financial industry, while relying on the strength of 2,000 dedicated specialists.
Mireille Adebiyi, +33144053200
Murex Global Marketing Communications Manager
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