Applying Vectorisation to CVA Aggregation

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.

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

Presenters

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