Murex presents market risk solution
25 February 2016 Paris
Image: Shutterstock
Murex has devised a packaged solution to deal with the Basel Committee on Banking Supervision’s new minimum capital requirements for market risk.
The requirements follow the Basel Committee on Banking Supervision’s recent fundamental review of the trading book (FRTB), also known as BCBS 352.
The standard approach 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 the internal model approach, the solution computes stressed expected shortfall by risk factor and liquidity horizon, non-modellable risk factors stress tests, and default risk charge.
It also 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 profit and loss attribution,” said Marwan Tabet, head of Murex’s 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.”
The requirements follow the Basel Committee on Banking Supervision’s recent fundamental review of the trading book (FRTB), also known as BCBS 352.
The standard approach 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 the internal model approach, the solution computes stressed expected shortfall by risk factor and liquidity horizon, non-modellable risk factors stress tests, and default risk charge.
It also 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 profit and loss attribution,” said Marwan Tabet, head of Murex’s 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.”
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