How has Quantifi accelerated XVA performance?

The calculation of XVAs is highly complex. One of the key challenges of XVAs is that adjustments need to be calculated on a portfolio basis rather than trade by trade. This requires dealing with a large number of computations and orders of magnitude more calculations for accurate results.

A number of factors influence the speed of XVA computations, including the size of the portfolio, the amount of market data, and the configuration of the Monte Carlo simulations themselves.

Find out how Quantifi has accelerated the performance of these large scale workloads by leveraging Intel’s latest hardware.

Agenda

  • The need for faster XVA calculations
  • Factors influencing the speed of XVA computations
  • How to accelerate the performance of large XVA workloads
  • Test results: how Quantifi has accelerated performance with Intel
  • Q&A

Speakers

  • Rama Krishna Nagamalla, Senior Development Manager, Quantifi
  • Mahesh Bhat, Principal Engineer, Intel

Date & Time

21st April 2021

3pm BST / 4pm CET / 10am EST

Registration Closed
Registration is no longer available.

View recap

insights

Innovative thinking

Client Stories

AFD Treasury Leverages Quantifi’s Integrated Trading and Risk Management Solution

Agence Française de Développement (AFD), is an established and specialised financial institution that has been working to fight poverty and foster economic growth by financing sustainable development projects in developing countries across five continents. AFD is a regulated bank with 40 offices around the world and operating in more than 60 countries.

➞
News

Quantifi Releases Version 19 with Major Enhancements to VaR, Live Risk, AI/ML Integration & ARR

Version 19 provides clients with next-generation Value-at-Risk, cloud-based live risk, high performance integration with AI/ML and tools to seamlessly navigate the IBOR transition.

➞
Client Stories

Helaba Enhances Enterprise-Wide Derivatives Counterparty Risk Management

Helaba, one of the leading German banks, with a workforce of approximately 6,300 and a balance sheet total of around EUR 180 billion, offers financial services to companies, banks, institutional investors and the public sector, both within Germany and internationally. The bank also acts as central clearing institution and service provider for 40% of German savings banks.

➞

Let's talk!

Speak with one of our solution experts
GET STARTED
CONTACT US
Loading...