Murex Model Validation

Independently verifying that third party vendor models for pricing and risk calculations in finance are fit for purpose is a time consuming and expensive task. QuantSOS aims to alleviate the burden this places on businesses looking for a truly “off the shelf” solution using Murex by providing the tool kit necessary for producing an accompanying independent model validation in a straightforward and cost-effective manner.

Coverage

QuantSOS can provide validation packages across multiple asset classes including Rates, Fixed Income, FX, Equity, Inflation and Hybrids. We also offer an automated approach to verifying that yield curves, volatility surfaces and other important market data objects are produced and handled correctly by the system.

Cost effectiveness

QuantSOS can offer extremely cost-effective fixed price solutions (when compared with say a bespoke validation by a consulting firm) by unlocking scale benefits through standardising and then reusing large parts of its tool kit in multiple validations. QuantSOS can also offer more customised validation packages on request.

Approach

Our service covers all the steps required for a complete model validation from model theory, through creation and running of the test sets, to the final analysis of the results. Clients will be provided with an overview of the theoretical underpinnings and limitations of the model along with a summary of the relevant documentation provided by the vendor, with gaps filled in where necessary. Clients will also be given detailed guidance on how to automate the insertion of test trade sets into the system and the production of pricing and risk outputs from the system. Finally, clients will receive a comprehensive summary of the results of the testing along with comparative results produced on QuantSOS’ systems.