RiskTech Forum

MXG Team employed by ABN AMRO to Optimise Murex Risk Environment

Posted: 9 October 2012  |  Source: MXG Team

MXG Team Limited announced the successful rework of a complex Murex End of Day (EOD) and Value at Risk (VaR) reporting solution on behalf of ABN AMRO Bank N.V in the Netherlands.

ABN AMRO, a leading Dutch investment bank, is considered to be the longest established and most advanced multi asset 3.1 clients on Murex globally.

The revised solution involved a redesign and build of the Murex EOD, resulting in a significant improvement of processing times - overall processing times were cut by approximately 50% and marked performance gains realised. The nature of the work entailed extensive reconfiguration of Murex launchers, SQL extractions, table indexing and EOD processes, using MXG Team’s best practice methodologies.

Dick van Driel, Program Manager, Murex Enigma at ABN AMRO said "MXG Team brought unparalleled expertise and commitment to this project, delivering a significant reduction in lead times around business critical reporting activities on Murex. This was an incredibly complex task, not least for the scope of our Murex installation and the technical challenges it presented. The delivery by MXG Team is therefore all the more commendable."

In addition, integrated VaR reporting generation time was reduced by 40%, with a successful migration of the computation process being made from Solaris to Linux. This allowed for the introduction of the bank’s Internal Model Method (IMM) reporting framework, with MXG Team playing a pivotal role in the delivery.

Chief Operating Officer of Risk Markets, Willem De Waard at ABN AMRO said "The delivery of this reporting framework, and in particular VaR, is testament to a seamless working relationship that was established with MXG Team from the outset of this endeavour.  MXG Team’s history of consistent and best practice Murex delivery, specialist Murex skills and deep rooted ties to Murex meant an unrivaled level of expertise, which was essential to ensuring the project’s success. MXG Team was the right partner to assist ABN AMRO on this undertaking."

Using hyper-threading technology on Linux, each trade in Murex is calculated 2000 times as part of historical/stressed VaR scenarios, with risk being decomposed by portfolio, deal, risk factor and counterpart, and covering marginal and incremental VaR. The outcome is a solution that provides one of the most comprehensive and cutting-edge 3D slice-and-dice views of risk in the market, in accordance with ABN AMRO’s strict IMM reporting criteria.

MXG Team’s Head of Murex Reporting, Nerav Patel, credits much of the success to world class processes and methodologies that MXG Team bring around Murex implementation, migration and upgrade, coupled with their pioneering ‘Murex Aware’ best-of-breed software solutions.

The Head of Reporting at MXG Team, Nerav Patel stated "MXG Team’s knowledge and expertise, combined with our internal processes and intelligent software solutions, were instrumental in meeting the delivery expectations and service level demands of ABN AMRO. We are delighted to have brought a market leading reporting framework for EOD and VaR on Murex that adopts standardised best practices and meets future performance requirements in terms of scalability and shelf life."

Headquartered in Dublin, Ireland, and with offices in London, Madrid, Vienna , Johannesburg and the Middle East, MXG Team is one of the fastest growing privately owned Murex specialist consultancies

in EMEA, providing specialist Murex consultancy services and cutting-edge software solutions and packages to empower client independence in automated testing and validation of Murex.