AmBank, part of Malaysia’s AmBank Group, has implemented the latest version of Murex’s MX.3 Market Risk Solution.
Murex stated that the new market risk implementation will enable the bank to enhance oversight of its risk management activities across all fixed income businesses and strengthen the bank’s ability to meet domestic regulatory and reporting requirements.
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Within eight months, AmBank and Murex teams were able to replace and deliver a new market risk framework covering 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.
Nigel Denby, chief risk officer of AmBank Group, said: "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.
"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."
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