Applying Vectorisation to CVA Aggregation

Re-cap
6 Dec 2017

Join Quantifi and Intel for this complimentary webinar on vectorisation. New challenges in the financial markets driven by changes in market structure, regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9 and FRTB have increased demand for higher performance risk and analytics. Problems like XVA require orders of magnitude more calculations for accurate results. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware.

Webinar co-hosted by Quantifi & Intel

Agenda

  • What is vectorisation?
  • The rise of parallelism
  • What kind of problems can be vectorised?
  • Implementation challenges: Intel’s 6 step program
  • Applying vectorisation to CVA aggregation

 

Download Related Whitepaper 

Speakers

  • Jamie Elliot, Development Manager, Risk Architecture, Quantifi
  • Evgueny Khartchenko, Senior Software Application Engineer, Intel

Date & Time

6th December, 2017

10am GMT / 11am CET