Sep 22, 2011

“Real-time” Trading and Risk Demands Drive Cloud Innovation for Complex Derivatives

Mounting regulatory compliance pressures, compounded with unprecedented market volatility and counterparty risk concerns, are fueling a ubiquitous need across financial services firms to calculate more granular, compute intensive risk metrics in as close to “real-time” as possible. The new trend is, in turn, driving firms to leverage high performance servers and cloud computing in a whole new way – bursting compute-intensive calculations to private, public and hybrid clouds.

To meet this growing demand, Numerix has teamed up with Microsoft to provide Numerix CrossAsset on Microsoft Windows HPC Servers and Windows Azure. Most recently, we’ve seen global capital markets leaders, including Sumitomo Trust and Banking Co. and Samsung Securities, successfully leverage Microsoft’s high performance and cloud-based computing in their Numerix implementations to achieve ‘real-time’ pricing and risk analytic efficiencies.

See the recent press release for more information.

A session at Microsoft’s recent Tech Ed conference provided further evidence of this trend. The talk featured a Numerix client discussing their need to provide virtually unlimited, cost effective compute capacity to the desktop. It describes a successful proof of concept they’d completed in which complex Monte Carlo simulations were bursted to Windows HPC Servers and Windows Azure.

As these implementations attest, it’s not a matter of if, it’s a matter of when financial services firms that deal in derivatives capitalize on cloud computing to support their pricing, valuation and risk compute needs.

 

Blog Post - Oct 20, 2011

Modeling Wrong Way Risk in CVA for Quantitative Analysts

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