Nasdaq has unveiled a new machine learning-driven methodology for conducting risk calculations and generating predictive analytics for investment portfolios. The innovative functionality will be integrated into Nasdaq’s Calypso platform, widely used by banks, insurers, and other financial institutions to access capital markets, manage risk, and comply with regulatory reporting requirements.
The new system, XVA Accelerator, is designed to address the increasing complexity of derivative pricing models, particularly the computationally intensive process of calculating Value Adjustments (XVA) in over-the-counter (OTC) derivatives trading. These adjustments, which include Credit Valuation Adjustments (CVA), account for the risk, funding, and capital costs inherent in such transactions. Nasdaq’s solution employs advanced machine learning alongside mathematical modelling to significantly improve the speed and efficiency of these calculations.
At the core of the XVA Accelerator is a technique based on Chebyshev Tensors, developed in collaboration with MoCaX Intelligence. This patented approach allows for the rapid convergence of scenario-based risk assessments, reducing the time and computational power required for the most complex calculations by up to 100-fold. This enhancement is critical as banks face rising regulatory demands, such as those introduced under Basel III Endgame, which require more granular risk assessments and frequent intraday recalculations.
The technology enables financial institutions to run risk models across millions of scenarios with fewer computational resources, reducing both the physical infrastructure and energy requirements typically associated with such processes. This is especially valuable during periods of market volatility, allowing firms to quickly adjust to changing conditions without sacrificing accuracy or transparency.
By streamlining risk calculations and enhancing the ability to model complex derivatives, the XVA Accelerator empowers financial institutions to better manage risk, optimise trading strategies, and reduce operational costs. As part of Nasdaq’s broader Calypso platform, it reflects the company’s commitment to advancing industry-wide modernisation and operational efficiency across global financial markets.
Subscribe to our newsletter
