Risk management transformation at a global bank

A global bank wanted to migrate from its legacy trade booking and risk reporting system to the Murex platform to enhance trade capture, data integrity, stress testing and reporting. This entailed:

• Streamlining front-, middle- and back-office operations across asset classes
• Migrating trade and market data with validation from data vendors such as Bloomberg and Reuters
• Designing a robust stress-testing framework to assess portfolio resilience in adverse market conditions
• Ensuring consistency between legacy-system and Murex outputs during the transition

We executed the project in two phases: Phase 1 covered derivatives, and Phase 2 extended to other products. Our team carried out the following tasks:

• Data integration: Performed clean-up, migration and validation of trade data; integrated APIs for market data feeds
• Stress-testing framework:
  • Designed six interest-rate scenarios (e.g., curve flattening, steepening at varying horizons) and six forex scenarios (spot and volatility shifts across tenures) to meet the bank’s internal stress-testing policy requirements
  • Performed data collection, PV validation, scenario generation and scenario management within Murex
• Execution and validation: Executed stress scenarios on migrated trades, compared results against legacy systems and validated outputs
• Reporting: Generated comprehensive outputs-base P&L, stress P&L and factor-wise impact analysis

• Enhanced risk insights: Clear visibility of portfolio sensitivity in multiple stress environments
• Efficiency gains: A streamlined stress-testing cycle (daily instead of monthly previously) with reduced manual intervention; accurate report generation in minutes (versus ~1 hour previously) after execution of stress scenarios, providing sufficient time for analysis of the output generated
• System reliability: End-to-end validation ensured accuracy of migrated data and reports
• Strategic risk management: Assessment of mild-to-extreme stress impacts by specific risk factor improved regulatory preparedness and internal decision-making