-
Our solutions
- Our clients
With 300 clients and 60,000 users spread across 60 countries around the world, Murex has a truly international client base of capital markets participants.
view all case studies- Insights
- Who we are
Our awards highlight a strong level of customer satisfaction and acknowledge our market expertise.
Visit our awards webpage- Our partners
- Careers
MAR
22Murex and AD&Co Collaborate to Offer Advanced Risk Measurement for MBS
Murex clients can access AD&Co’s OAS Subroutine to capture interest rate and prepayment model risk for MBS portfolios
PARIS, 22 March 2018 — Andrew Davidson & Co., Inc. (AD&Co) a provider of risk analytics and consulting, and Murex, a global leader in trading, risk, and processing solutions are pleased to announce that AD&Co’s OAS Subroutine, which includes the Agency Loan Dynamics Model (Agency LDM), is now available within Murex’s MX.3 platform. The new collaboration provides clients with an advanced risk analytics product, including Value-at-Risk (VaR) capabilities, for Mortgage-Backed Securities (MBS).
The addition of AD&Co’s OAS Subroutine allows Murex clients to model agency securities including Interest Only (IO) and Inverse IO strips, using a widespread industry Options Adjusted Spread (OAS) model that accounts for the relationship between interest rates, home prices and prepayment behavior of borrowers, across all types of residential MBS.
Alex Levin, AD&Co’s Director of Financial Engineering, states “Murex and AD&Co have jointly created an advanced VaR product for MBS portfolios that extends risk measurement to both observed and unobserved factors. The ability to capture interest-rate risk exists in many software products on the market; Murex's MX.3 goes beyond and incorporates prepayment-model risk as well.
Franck Lanowith, Head of Fixed Income Securities and Credit Derivatives at Murex, comments “The pre-packaged solution integrating AD&Co’s Subroutines with MX.3 allows our clients to perform comprehensive analysis of mortgage securities, including prepayments and default models, while seamlessly leveraging MX.3 platform business processes, like real-time portfolio management, VaR, stress testing and the automated life cycle.”
The AD&Co OAS Subroutine is offered as an add-on service for Murex clients through a Dynamically Linked Library (DLL). Murex clients can license the OAS Subroutine directly from AD&Co.
About AD&Co
Andrew Davidson & Co., Inc. offers risk analytics and consulting for fixed income investors with an emphasis on mortgage--backed securities, whole loans and credit-risk sharing. AD&Co currently offers a Prepayment/Default model (LoanDynamics) for most types of U.S. residential and multifamily loans, and a suite of financially engineered tools including option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. Their unique blend of investment expertise and innovative quantitative methods combines decades of Wall Street experience with the most advanced modeling techniques. For more information about Andrew Davidson & Co., Inc., please visit www.ad-co.com.
Latest news
05 May 2025
Murex Wins Most Innovative API Framework/Microservices Architecture for Trading Category via A-Team
10 Apr 2025
Amundi Technology Partners with Murex to Deliver Superior OTC Derivatives Capabilities to Investment Managers
13 Mar 2025
Murex Strengthens Internal Controls, Security Best Practices Commitment with SOC 1, SOC 2 Compliance
Attestation underscores IT, security benchmarks for managed services providers
07 Jan 2025
Bank of Hangzhou Extends Scope on MX.3 with FRTB Solution
Murex deepens cooperation with China's leading city commercial bank
10 Dec 2024
Murex Wins Best Vendor for System Support and Implementation at Risk.net Markets Technology Awards
Company also secures FRTB (IMA) product of the year, Trading systems: structured products/cross-asset distinctions
05 Dec 2024
Murex Nets Two IBSi Global Fintech Innovation Awards
Fintech leader recognized for work with Alinma Bank, wins treasury, Islamic banking categories
03 Dec 2024
Boubyan Bank Completes MX.3 Implementation for Sharia-compliant Treasury Activity
Significant technology milestone reached in IT transformation for Islamic financial institution
08 Oct 2024
Murex, Kaiko Partner to Enhance Real-time Portfolio Management for Digital Assets
Collaboration integrates comprehensive digital assets data into MX.3 platform, extends the reach of cryptocurrency market data and indices
30 Sep 2024
Murex Wins Best Technology Provider for FX Options at Euromoney’s Foreign Exchange Awards
Solution used by over 130 banks and financial institutions around the world
27 Sep 2024
Murex Wins Five Asia Risk Technology Awards Categories
Outstanding result underscores company commitment to fintech innovation and regional leadership
- Our clients