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 can be extremely computationally expensive to solve accurately. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware.
Co-hosted by Quantifi & Intel
- 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
Jamie Elliot, Development Manager, Risk Architecture, Quantifi
Evgueny Khartchenko, Senior Software Application Engineer, Intel
Recommended Whitepapers and Articles
Vectorisation: The Rise of Parallelism Whitepaper
Vectorization, Part 3: Applying Vectorization to CVA Aggregation
What is .Net Core?
A First View on the New CVA Risk Capital Charge