Enterprise risk management

Based on a modern technology stack, the solution supports several deployment models, such as cloud—Amazon Web Service and Microsoft Azure—on-premises or with managed service in SaaS. It leverages a pay-as-you-go model and infrastructure elasticity. Infrastructure provisioning linked to intraday corrections is optimized because of a surgical recomputation based on what is impacted by changes. It minimizes the time infrastructure is used for recomputation and enables cost savings with a pay-as-you-go model.

To serve large and complex computations, MX.3 provides a proprietary grid or can be integrated with the IBM Symphony grid, and supports both CPU and GPU engines.

Regardless of whether MX.3 is used as an end-to-end enterprise solution or a building block, its integration capabilities enable straightforward integration into an existing system landscape.

Used by more than 200 customers across all tiers, MX.3 offers end-to-end enterprise-wide and cross-asset solutions covering over 300 payoffs. Regulatory solutions like FRTB-SA, FRTB-IMA, SA-CCR and initial margin (IM) come with prepackaged regulatory content that facilitates reporting on multiple jurisdiction requirements. Maintained up to date through a local regulatory watch, it enables clients to adapt more quickly to regulatory changes and ensures that solutions support Basel standards exceptions.

For SA-CCR, accuracy of figures reduces the risk-weighted assets (RWA). Risk control can monitor the SA-CCR in addition to the existing CEM framework in a single system.

The IM solution supports schedule-based and ISDA SIMM methodologies and covers cross-jurisdiction legal specifics. The solution-based ISDA SIMM methodology supports the full model governance toolkit, including exercise A back testing and exercise B benchmarking.

Complementary to the on-premises deployment model, XVA solutions can leverage a version-agnostic business process as a service (BPaaS) offering for intensive computation.

This hybrid deployment model allows Murex clients to avoid costly hardware buys and answers regulatory constraints linked to sensitive data. Fully managed by Murex, the solution leverages a shared and elastic infrastructure. This flexible solution enables Murex clients to benefit from continuously improved functionalities without having to upgrade their own MX.3 solution.

Murex is a long-term partner as it supports firms on their journey toward compliance and beyond to optimize processes and best practices. Murex invested early in regulatory risk solutions, and has been following evolutions with clients ever since, often offering updated packages for legacy installations to meet overlapping and shifting regulatory deadlines. Because of its global client community, Murex can support new clients in all regions with experienced consultants and guide them through the challenging process of regulatory rules interpretation and validation on any jurisdictions. A similar approach has been taken for FRTB-SA, FRTB-IMA, initial margin, SA-CCR and CVA capital charge.

The enterprise risk management solution builds on the MX.3 platform. It offers a wide integration capability that enables a smooth fit within existing IT landscapes. The solution can be implemented all at once or incrementally at a staggered pace where and when it makes organizational sense. Having one system removes the need to develop and maintain many interfaces. A common data model allows the solutions to seamlessly interact with one another. Each regulatory solution is a stepping stone to another. FRTB-SA can be implemented on top of SIMM at an optimized cost. Data quality enrichment done for SIMM benefits FRTB-SA. Additionally, the common technical framework ensures that consultants reuse existing skills to speed up FRTB-SA projects.

MX.3 offers an end-to-end enterprise-wide solution used by more than 150 customers across all tiers to meet regulatory requirements. The solution provides a complete view of the risks taken by the organization. It supports historical value at risk (VAR), expected shortfall, stress testing and profit and loss explanations, all of which can be computed both with full revaluation as well as Taylor-based calculations. Stress-testing supports historical scenarios as well as the design of hypothetical adverse scenarios, leveraging criteria-based shifts and proxies, addressing risk management and regulatory purposes such as stressed risk measures.

MX.3 enables FRTB compliance and offers an end-to-end enterprise-wide solution for both the standardized approach, FRTB-SA, and the internal model approach, FRTB-IMA. The latter builds upon a battle-tested market risk engine, which already serves dozens of banks for Basel 2.5 approved internal VAR and stressed VAR models. FRTB-SA leverages over two decades of experience in sensitivity analytics—it brings accuracy and rich product coverage.

Risk officers enjoy strong analysis capabilities and have full autonomy in calculation process correction. From their day-to-day screen, they can slice and dice and drill down to the finest calculation inputs, such as trades, sensitivities, reference data and scenarios. Corrections trigger smart recomputation based only on what is impacted by the change. This enables risk officers to get corrected figures efficiently and meet the deadline for official results.

Many MX.3 ERM solutions come with prepackaged regulatory content to accelerate project implementations. The solutions support variations to the Basel standards and enable clients to adapt more quickly to regulatory changes with packages updates. In each client jurisdiction, a local regulatory watch ensures those packages remain up-to-date with regulation changes. The prepackaged solutions give flexibility, enabling clients to adapt based on their own interpretation of a regulation.

FRTB-SA, SA-CCR, initial margin (SIMM) and CVA capital charge (SA-CVA) solutions are systematically validated by Murex against ISDA unit tests, which can be rerun by clients on their own environment.

MX.3 features a leading limits and exposure monitoring solution across multiple source systems in real-time. It interacts with third-party deal capture systems. The solution covers the range of exposures for market, credit, liquidity and operational risks across trading, banking and investment books. The risk controller benefits from real-time position insights with the ability to take effective actions immediately. These include limit suspension, trade hedging or blocking contracts breaching limits. Central management enables consistent and efficient monitoring of intraday limit usage. Limits can be temporarily increased, or the limit line can be reallocated across business units and desks. Business dashboards summarize excess causes and resolution time and keep senior management informed.

MX.3 gives a consolidated view of exposures across entities with incremental intraday variation computed in batch or in real-time. This enterprise-wide solution, used by more than 150 customers across all tiers, has a broad range of analytical and simulated methodologies, such as Monte Carlo potential future exposure (PFE). It provides accurate credit risk measures (e.g., issuer lending, notional, pre-settlement, settlement)—across all asset classes. The solution enables capital management via risk-weighted assets (RWA), including exposure-at-default either with a standard (e.g., SA-CCR) or internal model method (PFE with IMM waiver), CVA risk charge and central counterparty (CCP) capital charge calculation.

To analyze figures, credit risk officers take advantage of in-memory aggregation technology. From their day-to-day screen, they can slice and dice and drill down to the finest calculation inputs without recalculation. The technology retains full representation of underlying financial contracts, maximizing credit risk officer analysis capacity in a constrained timeframe. A high-performance simulated PFE calculation engine gives end users access to an accurate real-time intraday exposure.

MX.3 features a leading limits and exposure monitoring solution across multiple source systems in real-time. It interacts with third-party deal capture systems. The solution covers the range of exposures for market, credit, liquidity and operational risks across trading, banking and investment books. The risk controller benefits from real-time position insights with the ability to take effective actions immediately. These include limit suspension, trade hedging or blocking contracts breaching limits. Central management enables consistent and efficient monitoring of intraday limit usage. Limits can be temporarily increased, or the limit line can be reallocated across business units and desks. Business dashboards summarize excess causes and resolution time and keep senior management informed.

Due to high accuracy and full coverage of risk-weighted assets (RWA) across multiple jurisdictions, this end-to-end solution enables strong capital payback. It provides the optionality to apply advanced treatments for exotics instead of conservative approximations (e.g., breaking down a cap/floor transaction into individual caplets for each flow). This allows for an accurate calculation of exposure-at-default (EAD) and a global optimization of the capital charge at the enterprise level. Data mapping richness helps clients cut costs and effort required for extractions, mapping and reconciliations. It avoids mapping issues and brings implementation efficiency and day-to-day accuracy. To obtain or maintain an internal model method (IMM) waiver, the PFE solution can complement SA-CCR in capital calculation.

The SA-CCR solution includes necessary documents to reduce documentation efforts for clients. It eases standard-compliance checks and solution validation by regulators.

Many MX.3 ERM solutions come with prepackaged regulatory content to accelerate project implementations. The solutions support variations to the Basel standards and enable clients to adapt more quickly to regulatory changes with packages updates. In each client jurisdiction, a local regulatory watch ensures those packages remain up-to-date with regulation changes. The prepackaged solutions give flexibility, enabling clients to adapt based on their own interpretation of a regulation.

FRTB-SA, SA-CCR, initial margin (SIMM) and CVA capital charge (SA-CVA) solutions are systematically validated by Murex against ISDA unit tests, which can be rerun by clients on their own environment.

A cloud-friendly enterprise risk platform that covers cross-regulation requirements simplifies and speeds up compliance and reduces total cost. It brings risk figure consistency across regulatory solutions, such as CVA capital charge, counterparty credit risk risk-weighted assets (RWA), central counterparty (CCP) charge, large exposure reporting or leverage ratio. Consistency is enforced by a shared reference data repository and a common calculation framework. With SA-CCR, when collateral management is managed within the same MX.3 platform, the exposure-at-default (EAD) measure can be reduced in real-time while improving accuracy and reliability.

The XVA solution is a front-to-finance-to-risk charge solution that supports both standardized approach CVA (SA-CVA) and basic approach CVA (BA-CVA). It provides deal-per-deal attribution for credit valuation adjustment and funding valuation adjustment to the accounting solution. It enables compliance with Accounting Standards Committee topic 820 and the International Financial Reporting Standards (IFRS) 13. Trade level CVA and FVA can be allocated to the proper unit of account. XVA P&L can be fully broken down by various effects such as time decay, instrument type (e.g., forex, interest rates or spreads movements), trade and market operation effects.

Due to high accuracy and full coverage of risk-weighted assets (RWA) across multiple jurisdictions, this end-to-end solution enables strong capital payback. It provides the optionality to apply advanced treatments for exotics instead of conservative approximations (e.g., breaking down a cap/floor transaction into individual caplets for each flow). This allows for an accurate calculation of exposure-at-default (EAD) and a global optimization of the capital charge at the enterprise level. Data mapping richness helps clients cut costs and effort required for extractions, mapping and reconciliations. It avoids mapping issues and brings implementation efficiency and day-to-day accuracy. To obtain or maintain an internal model method (IMM) waiver, the PFE solution can complement SA-CCR in capital calculation.

The SA-CCR solution includes necessary documents to reduce documentation efforts for clients. It eases standard-compliance checks and solution validation by regulators.

MX.3 offers strong analysis capabilities to risk officers. From their day-to-day screen, end users can slice and dice and drill down to the finest calculation inputs, such as trades parameters, legal agreement in addition to other reference data. It enables end users to get figures analyzed efficiently and meet the deadline for official results sign-off.

Many MX.3 ERM solutions come with prepackaged regulatory content to accelerate project implementations. The solutions support variations to the Basel standards and enable clients to adapt more quickly to regulatory changes with packages updates. In each client jurisdiction, a local regulatory watch ensures those packages remain up-to-date with regulation changes. The prepackaged solutions give flexibility, enabling clients to adapt based on their own interpretation of a regulation.

FRTB-SA, SA-CCR, initial margin (SIMM) and CVA capital charge (SA-CVA) solutions are systematically validated by Murex against ISDA unit tests, which can be rerun by clients on their own environment.

Murex is a long-term partner as it supports firms on their journey toward compliance and beyond to optimize processes and best practices. Murex invested early in regulatory risk solutions, and has been following evolutions with clients ever since, often offering updated packages for legacy installations to meet overlapping and shifting regulatory deadlines. Because of its global client community, Murex can support new clients in all regions with experienced consultants and guide them through the challenging process of regulatory rules interpretation and validation on any jurisdictions. A similar approach has been taken for FRTB-SA, FRTB-IMA, initial margin, SA-CCR and CVA capital charge.

MX.3 includes an XVA management solution. It provides critical pricing, desk management and accounting capabilities to hedge and optimize XVA costs. It computes incremental XVA costs and sensitivities in real time and pre-deal, while structuring new trades. It enables proactive intraday monitoring, as well as introspection with what-if and drill-down analysis through dedicated dashboards. The solution covers credit valuation adjustment (CVA), debt valuation adjustment (DVA), funding valuation adjustment (FVA), initial margin valuation adjustment (MVA) and capital valuation adjustment (KVA).

Complementary to the on-premises deployment model, XVA solutions can leverage a version-agnostic business process as a service (BPaaS) offering for intensive computation.

This hybrid deployment model allows Murex clients to avoid costly hardware buys and answers regulatory constraints linked to sensitive data. Fully managed by Murex, the solution leverages a shared and elastic infrastructure. This flexible solution enables Murex clients to benefit from continuously improved functionalities without having to upgrade their own MX.3 solution.

MX.3 features a leading limits and exposure monitoring solution across multiple source systems in real-time. It interacts with third-party deal capture systems. The solution covers the range of exposures for market, credit, liquidity and operational risks across trading, banking and investment books. The risk controller benefits from real-time position insights with the ability to take effective actions immediately. These include limit suspension, trade hedging or blocking contracts breaching limits. Central management enables consistent and efficient monitoring of intraday limit usage. Limits can be temporarily increased, or the limit line can be reallocated across business units and desks. Business dashboards summarize excess causes and resolution time and keep senior management informed.

The solution supports full management of limit excesses, whether caused by intraday activity or end-of-day batch. Breaches are routed to a proper investigation and resolution of causes—this provides efficiency to the risk controller. Validation workflows that include the four-eyes principle can be applied to all changes made on reference data and limits. The solution includes full access rights management and audit procedures.