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 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


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

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