How to Accelerate 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

Event has passed
This event has already happened, registration is no longer available.

View recap

RELATED INSIGHTS

19 Oct, 2021. Online | Events

WBS 4th Interest Rate Reform (IBOR Transition) Conference

This is a 3-day event focusing on the latest developments, challenges and opportunities that lie ahead within quant finance. With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision and a clear transition plan for benchmark-linked derivatives is becoming paramount for the interest rate […]

28 Nov, 2021. Webinar | Events

The Evolution of Credit Trading – Technology, Analytics & Data

With the increase in bond issuance in 2020, credit is playing an important role in portfolios. The current credit market environment, characterised by uncertainty and persistent structural inefficiencies is rich in relative value credit investment opportunities. The panellists will be discussing how firms can take advantage of this new environment with the right data, analytics and technology.

16 Nov, 2020. Online | Events

WBS 16th Quantitative Finance Conference

Every year, the Quantitative Finance Conference organized by WBS brings together professionals, researchers, academics, and leading experts in quantitative finance from all over the world to share and discuss their knowledge and experiences, new perspectives, and innovations in the industry.

Let's Talk!

Schedule a personalised demo today

Loading...