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Brochure mx3 Analytics Validation

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王晓斌
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145 views2 pages

Brochure mx3 Analytics Validation

Uploaded by

王晓斌
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MX.

3 for Analytics
Validation
As the capital markets evolve and regulatory pressure mounts, internal and regulatory model
risk management becomes increasingly important for structured treasury and exotic trading
desks. Moreover, many financial institutions will need to revalidate models to align trading and
risk engines under the forthcoming Fundamental Review of the Trading Book (FRTB) regulation.
MX.3 for Analytics Validation addresses these challenges, minimizing model risk and cost with
an automated solution, integrated within the MX.3 platform. It is a natural extension of Murex’s
advanced analytics for market data, valuation, and risk, and the product of years
of continuous investment.

Key benefits
• Lowers model cost and risk with an automated management, including SR 11-7, FED guidelines,
model validation framework and prepackaged Basel II/III, and EBA RTS.
tests for out-of-the-box, in-house, and third
• Reduces model integration risk with natively
party analytics.
integrated P&L and risk metrics.
• Leverages best practice in validation policy with
• Increases transparency in model assumptions and
prepackaged tests and out-of-the-box model
intermediate calculation steps, including calibration.
documentation, including validity domain,
validation chart and methodology based • Flexibly executes customer validation policy with
on industry standards. customizable tests.
• Facilitates compliance by providing coverage • Accelerates user access to an independent testing
for regulatory directives around model risk environment.

MX.3 for Analytics Validation


Customer market data or OTC market data

Excel-based Excel-based
Test orchestration layer
reference trades input model validation report

Customer analytics or Murex analytics


Prepackaged tests

Calibration
error –
calibration
instruments
repricing
Alternative
models Market data
benchmark limit cases

Payoffs limit
P&L attribution cases

Greeks
replication
Stress testing and
smoothness

Comprehensive test coverage Automated end-to-end framework designed


• Coverage across all asset classes. for user experience
• T
 he Murex test package covers Murex, third-party • Repeatable tests allow for either:
and proprietary models and is both model and - Continuous check of the validity of production
payoff agnostic. models under evolving market conditions.
• Provides a broad test scope, with prepackaged tests - Validation of newly introduced models during
based on Murex model validation policy, in line with implementation phases (non-regression tests and
industry best practices. benefits measurements on samples of trades and
• Highly flexible to match internal model market data).
validation policies. • Automated test execution includes a test orchestrator,
• Technical documentation for out-of-the-box analytics excel-based test definitions, and import/export
and internal validation reports is available. capability.

• MX.3 full calculation chain testing covers model • Easy analysis of test results via excel-based reporting,
integration risk by design and uses client’s production which includes archiving of past results and key
market data. indicators to rapidly confirm model validation.

• This solution facilitates the calculation of key Dedicated client services


indicators for prudent valuation reserves.
• M
 odel validation services are provided by Murex’s
• Leverage 20+ out-of-the-box Murex models dedicated global team of experts for best practice
as benchmarks for proprietary or third-party sharing and package customization.
models validation.
• Client service teams ensure rapid deployment of the
test solution, providing end users with an independent
test environment.
The power of a single platform
MX.3 is an open and modular platform that sits at
the center of your IT infrastructure and is connected
to the wider market. Part of this single platform, all
MX.3 trading solutions give you advanced front-
office analytics and a consolidated view of risks and
assets in real time, with native integration of trading
and risk. It also provides full coverage of post-
trade operations, from documentation through to
settlement, reporting and accounting.

EMEA Americas Asia Pacific


Paris + 33 1 44 05 32 00 New York + 1 212 381 4300 Singapore + 65 6216 02 88 murex.com murex @murex_group info@murex
Beirut + 961 1 356 000
MUREX, Murex logos and product names are trademarks of Murex S.A.S. and Murex S.A.S. reserves all intellectual property rights with respect to the trademarks.
All other trademarks are the trademarks of their respective owners.

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