Nasdaq Calypso Middle Office & Trading Risk
Firms are trading ever larger derivatives volumes as they address new market demands and incorporate financial innovations.
Integrated Risk Analytics and Compliance Management for Faster and Better Trading Decisions
The cost and complexity of trading are increasing driven by larger trading volumes and new regulations such as Basel III’s FRTB and SA-CCR, in addition to existing XVA spread and margin requirements. In this challenging environment, it is a strategic imperative that firms can estimate – during the pre-trade phase – the impact of a trade on their market-, counterparty credit-, or liquidity risk profiles. Having this intelligence prior to executing a trade is key to running a profitable and compliant trading business.
Navigating a Complex Market Risk Landscape with Nasdaq Calypso
Carmen Paun shares insights on today’s evolving market risk landscape, highlighting the growing impact of macroeconomic uncertainty, geopolitical tensions, liquidity shifts, and technology, while illustrating how Nasdaq Calypso helps firms navigate them through real‑time risk management, unified data management, cloud scalability, and AI.
Our Solution
Our cloud-enabled platform enables users to benefit from a real-time, 360° view of trading portfolio risk profiles underpinned by comprehensive internal and regulatory credit, market, and liquidity risk analytics.
In addition to generating official end-of-day (EOD) metrics and reports, we enable intraday risk monitoring, real-time pre-deal limits checks, what-if simulations, and stress scenarios. We provide a risk, P&L and liquidity management solution for cross asset, cleared and uncleared businesses. It allows users to better price and hedge their risk exposures and to forecast their funding and capital needs. With our middle office and trading risk platform you can optimize profitability in a world of volatile markets and ever-changing regulatory environment.
Nasdaq Middle Office & Trading Risk Features
Natively integrated with our front-office solution, these analytics enable consistent FO pricing and risk measures.
Key Risk Metrics Include:
- VaR and expected shortfall (ES) models: parametric, historical, and Monte-Carlo
- Stress MTM, P&L, sensitivities, scenarios and risk attribution
- Configurable confidence levels, EWMA filtering, kernel smoothing
- Incremental, marginal, upside VaR, what-if
- Absolute and relative VaR vs. reference benchmark
- Backtesting using hypothetical or actual P&L approaches
Key Market Risk Analytics for FRTB Include:
- Centralized calculations across trading systems
- Regulatory delta, vega, and curvature sensitivities
- Default risk charge and residual risk add-ons
- Support of national/jurisdictional discretions
- UMR- and FRTB-compliant backtesting
We provide real-time, intraday, and EOD XVA metrics to support your trading, accounting, hedging, and regulatory reporting.
Key Features:
- Single pricing layer between XVA software and front office
- Fully consistent with our front-office pricing engine and collateral functionality
- One set of CSAs and legal agreements shared with back office (BO) and collateral functions
- Performance accelerated by mathematical optimization
XVA Metrics:
- Risk-neutral and real-world calibration models
- LMM and Hull & White diffusion models
- Marginal and pre-trade incremental XVA
- Post-trade XVA optimization
- XVA sensitivities for Basel III’s FRTB SA-CVA
- XVA software explained
Our margin calculations can be used for more than 50 exchanges at every stage of the trade lifecycle and for stress testing.
Key Features:
- Native integration with our clearing and collateral management solutions enables an end-to-end collateral workflow
- Compliant with Basel III UMR regulation
- Latest ISDA SIMM and schedule/grid methodology
- AANA computation
- UMR dynamic and static backtesting
- ICE IRM 1.0 and 2.0
- CME SPAN and SPAN 2
- EUREX PRISMA
We deliver a complete range of analytics that enable you to assess the credit and counterparty risk of your transactions through the complete trade lifecycle.
Key Features:
- Exposure at default (EAD) measures based on CEM, SA-CCR, and Monte-Carlo PFE methodologies
- Native integration with our front-office (FO) solution for consistent derivatives pricing
- Collateral information to enable comparison of collateralized and uncollateralized exposures
- Marginal allocation of a portfolio EAD per netting set and per trade
Our front-to-back integrated platform standardizes and reduces operational burdens associated with P&L production and enables consistency of EOD and intraday live P&L.
Key Features:
- EOD official P&L
- Live P&L
- P&L explained and attribution metrics
- Actual and hypothetical P&L for backtesting
- End of Day and real-time pre-deal check stop loss limits
- Cloud ready
You can easily keep your trading activity within pre-defined boundaries via our intraday checks on eligibility rules and risk limits.
Comprehensive Limit Monitoring
- Complete set of limit risk metrics: Counterparty Credit Risk (CEM, SACCR, Monte-Carlo PFE), Market Risk (duration, sensitivities, VaR), Issuer Risk, Concentration Risk, Settlement Risk, Liquidity Risk and Stop-Loss
- Baseline updates facilitate intraday and pre-trade limit processes
- Top exposures, breaches, and exceptions tracked via dashboards
Compliance Tools
- Dashboard
- ESG-based rules
- Pre-and post-trade compliance
- Eligibility checks
Flexible Exposure Measures
- Pricers
- User-defined formulas
Why Nasdaq Calypso Middle Office & Trading Risk?
Natively Integrated with Nasdaq Calypso's Front-to-Back Platform
Our trading risk metrics are consistent with the front-office pricing engine by design. This significantly reduces implementation and reconciliation time and effort.
Regulatory Analytics Embedded in Daily Trading Decisions
With access to regulatory metrics in intraday, real-time, and pre-deal check limits, we enable you to better capture and cascade regulatory cost and guidelines inside your organization.
Cloud Ready
Whereas our solutions can be utilized on-premises, they are designed to fully leverage the computing capabilities and benefits of a cloud deployment.
Performant, Scalable Grid Computing Infrastructure
We leverage state-of-the-art technologies to provide the level of performance and quick response times your front-office users expect.
Real-Time Pre-Deal Limit Checks
We deliver the ability to concurrently check new trades prior to executing them.
360 Holistic View of Trading Risk
We provide a comprehensive view of your trading portfolios’ risk profiles that combines internal and regulatory credit, market, and liquidity risk analytics.
Interoperability via REST APIs
Using REST APIs, you can remotely control calls to the Nasdaq Calypso platform from other software – to produce regulatory analytics, read current limits usage, or perform pre-deal limit checks – for enhanced operating flexibility.
Explore how the modular Nasdaq Calypso capital markets and treasury platform serves the financial ecosystem.
Nasdaq Calypso
A versatile foundation with solutions built to scale.
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Additional Information
Nasdaq & Novobanco Case Study
Portugal’s novobanco has partnered with Nasdaq Calypso for two decades, deploying the platform in its back office to support post-trade processing across multiples asset classes, including equities cash and derivatives, fixed income, FX cash and derivatives, money market instruments, and securities finance
novobancoNasdaq Calypso Middle Office and Trading Risk Solution
Learn how Nasdaq Calypso’s integrated Middle Office & Trading Risk solution enables financial institutions to optimize profitability in a world of volatile markets and an ever-changing regulatory environment.
Nasdaq Calypso Middle Office and Trading Risk SolutionThe Basel III Endgame
The US Federal Deposit Insurance Corporation (FDIC), the Board of Governors of the Federal Reserve System (US Fed), and the Office of the Comptroller of the Currency (OCC) jointly issued the long-expected notice of proposed rulemaking (NPR) that will revise the measurement of risk-weighted assets (RWA) and the definition of regulatory capital applicable to large banking organizations with a new framework of reforms — commonly referred to as the Basel III Endgame.
The Basel III EndgameMauritius Commercial Bank Case Study
Read why the Mauritius Commercial Bank chose Nasdaq Calypso to drive strategic growth, scale operations with a comprehensive front-to-back capital markets solution and accelerate its cloud journey.
Mauritius Commercial Bank Case Study