Nasdaq enhances risk platform with fixed income, multi-factor and intraday stress testing tools

Rick Steves

“The extreme volatility in recent weeks has demonstrated the consequences of firms not understanding their intra-day liquidity and market risk.”

Nasdaq growth record

Nasdaq has made a series of enhancements to its risk technology platform in order to help firms better navigate extreme market conditions, providing a live view of risk across proprietary and client trading portfolios with detailed analytics to support real-time decision-making.

The Nasdaq Risk Platform is widely used by the banking and broker-dealer community to manage liquidity and market risk.

Risk platform

The latest major release of the risk platform adds fixed income securities including Government Bonds, Corporate Bonds and Convertible Bonds to offer users a consolidated view of risk across a broad range of asset classes including Fixed Income, Equities and Equity Options, Exchange Traded Derivatives and Foreign Exchange.

It also significantly enhances multi-factor and intraday stress testing tools that are capable of isolating and managing specific risks within large and complex scenario sets.

Other significant enhancements include adding an open source distributed streaming system, Kafka, to feed live risk analytics, and fully incorporating Nasdaq Derivatives Pricing into the platform.

Delivered via the Nasdaq Risk Platform or standalone, Nasdaq Derivatives Pricing provides streaming option analytics including theoretical prices, greeks and recalibrated option volatilities to clients.

The integration enables firms to conduct P&L, Value at Risk (VaR) and stress testing calculations on option portfolios which is done using recalibrated intraday volatility surfaces, a three-dimensional plot mapping option values against the possible strike prices of an underlying stock.

“Many firms still rely on receiving end-of-day pricing and margin calls”

Roland Chai, Executive Vice President and Head of Marketplace Technology at Nasdaq, said: “The extreme volatility in recent weeks has demonstrated the consequences of firms not understanding their intra-day liquidity and market risk. We’ve seen a significant increase in demand from banks and broker-dealers who recognize the importance of being able to distill, analyze, interpret, and act on signals in a genuinely live environment. Our position as both a technology and markets infrastructure provider means that we are uniquely placed to help firms navigate these unprecedented headwinds.”

Magnus Haglind, Senior Vice President and Head of Products for Marketplace Technology at Nasdaq said: “Many firms still rely on receiving end-of-day pricing and margin calls, leaving them exposed to significant intraday volatility and the risk of a liquidity crunch. This threat is only going to increase as we move into a higher interest rate environment with even greater risk embedded in bond and derivative portfolios. Nasdaq Risk Platform provides firms with a consolidated and real-time view of risk across asset-classes, exchanges and CCPs and brings wider benefits in the form of more efficient collateral management, which can help unlock liquidity and boost returns.”

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