ION Enhances XTP Risk JANUS with AI for Improved Pre-Trade Risk Management

ION has announced an upgrade to its XTP Risk JANUS solution, integrating AI technology to improve pre-trade risk management capabilities.

The enhancement optimizes the accuracy of CME’s SPAN2 Approximation, enabling traders to achieve faster and more precise margin estimates for better decision-making and risk control.

“Using AI to apply a correction factor to SPAN2 Approximation”

The AI-enhanced model, developed by LIST, an ION company, integrates with XTP Risk JANUS and its Margin Engine, solutions widely used for pre-trade order validation in cleared derivatives trading. To calculate margin requirements for CME products, the system incorporates the CME SPAN 2 deployable library and offers the option to use CME’s SPAN2 Approximation when faster calculations are necessary.

SPAN2 is a margin calculation model designed by CME Group to assess risk for futures and options portfolios by estimating the worst-case potential loss over a short period, typically one trading day. While SPAN2 uses a historical value-at-risk model with many risk scenarios, its complexity can slow down real-time applications, leading to the creation of the SPAN2 Approximation for faster calculations. However, margin estimates from the approximation often differ from the original model.

ION addressed this gap by applying AI to correct and refine the SPAN2 Approximation results, bringing them closer to the original SPAN2 calculations while preserving the necessary speed for pre-trade validation.

Riccardo Bernini, Head of the Financial Engineering Team at LIST, commented, “We explored the possibility of using AI to apply a correction factor to SPAN2 Approximation to bring it closer to the original SPAN2 calculations. The outcome is surprisingly good and gives our clients faster, more precise margin estimates. It ensures that they can effectively manage risk and make informed trading decisions with the speed required for pre-trade validation.”

The update to XTP Risk JANUS strengthens ION’s offering for financial institutions seeking to manage risk efficiently without sacrificing operational speed.

ION provides trading and workflow automation software, high-value analytics, insights, and strategic consulting to financial institutions, central banks, governments, and corporate organizations worldwide. Its solutions are designed to simplify complex processes and help clients improve efficiency and decision-making through continuous innovation.

ION Markets delivers technology and solutions across asset management, cleared derivatives, equities, fixed income, foreign exchange, and secured funding, supporting clients’ full trade lifecycles with real-time data and risk management tools.

LIST, as part of ION, focuses on providing financial technology to the global trading community, offering turnkey products that support trading venues, market makers, brokers, asset managers, and compliance teams. LIST’s solutions are driven by customer needs and built on real-time analytics capabilities.