AmBank Berhad, part of the AmBank Group and one of the largest financial groups in Malaysia, has gone live with the latest version of Murex’s MX.3 Market Risk Solution.
The installation will enable the bank to enhance the oversight of its risk management activities across all fixed income businesses and strengthens AmBank’s ability to meet increased domestic regulatory and reporting requirements.
“A thorough due diligence and proof of concept preceded our decision to shift away from our former system to Murex whose capabilities we were already familiar with,” said Nigel Denby, chief risk officer at AmBank Group, referencing the 2009 installation of a Murex front-to-back client-facing solution for foreign exchange (FX) derivatives, interest rate derivatives and equities. “Besides the benefits of leveraging current installations, we wanted to make sure this new risk installation will provide a significant leap ahead by delivering the most advanced market risk features,” added Denby.
The new market risk framework and solution covers Historical Value at Risk (HVaR) calculations, stress testing, back testing, market limits monitoring, compliance checks, risk aggregation and regulatory reporting to Bank Negara Malaysia, the local monetary authority. The implementation also features the MX.3 Market Risk Aggregator (MRA), which facilitates HVaR aggregation at enterprise level and provides a dashboard enabling dynamic analysis of risk drivers.