Murex model validation team industrializes validation of Murex analytics, leveraging S&P Global Market Intelligence data
Murex, the global leader in trading, risk management and processing solutions for capital markets, has expanded its connectivity with financial information and analytics leader S&P Global Market Intelligence to cover model validation needs and provided an additional option to source market data into MX.3.
Murex’s model validation team is using S&P Global Market Intelligence to monitor the validation of front office pricing and risk models used within MX.3. It spans the whole life cycle of model validation: inputs, conceptual soundness, ongoing monitoring, outcome analysis and use, including initial validations, periodic re-validations and continuous monitoring that are run on several asset classes.
Central bank policy changes throughout the year have strongly impacted rate curves shaping and have put pressure on financial models and quants teams.
For Murex financial engineers, it is essential to regularly observe how models perform and remain accurate in such turbulent conditions. Performed tests include historical model parameters stability, model market fit quality, dynamic hedging efficiency and greeks regularity.
As part of this collaboration extension, Murex has developed off-the-shelf connectivity between MX.3 and S&P Global Market Intelligence Derivatives Data. It includes equity, FX, interest rates, credit and inflation. It enables asset managers, hedge funds, pension funds, insurance companies as well as banks to rapidly benefit from rich and accurate data while avoiding specific integration work.
“Customers of our high-quality, cross-asset data service can benefit from this latest collaboration with Murex,” said Tasha Gonska, vice president at S&P Global Market Intelligence. “S&P Global Market Intelligence has a long track record in building consistent and reliable derivative datasets, thanks to a unique access to market-making contributions from the OTC market. Our combined offering will make it extremely convenient for clients to leverage our ongoing and historical derivative data, as it will be deeply integrated within Murex’s MX.3 solution. Building reliable and consistent datasets from difficult-to-obtain market data is a perpetual challenge. Linking MX.3 to OTC Derivatives Data, part of S&P Global Market Intelligence, is of great benefit to clients who use both services.”
S&P Global Market Intelligence’s derivative data services source information from multiple providers, such as exchanges and inter-dealer brokers, as well as OTC market-makers. It provides customers with deep, accurate and reliable curve and volatility surfaces for use across the front, middle and back offices. It supports trading, research, valuation, independent price verification, market risk, regulatory reporting and compliance requirements for institutions globally.
Extensive cross-asset coverage extends to less liquid, long-dated and out-of-the-money products to provide comprehensive market insight.
“Users will experience prebuilt, seamless integration and the ability to digitally transfer data between solutions,” said Murex Head of Model Validation Bertrand Fevre. “We are pleased to grow our collaboration with S&P. By providing an additional option to clients to connect with a leading market data provider, Murex is able to regularly assess and demonstrate the strength of its model.”
