Category: Finance

Since the financial crisis of 2008, regulators have been increasingly demanding in terms of risk analysis and stress scenario simulations. In this talk, we present an approach for counterparty risk calculations based on Directed Acyclic Graphs. Calculations are arranged in a tree, where nodes are simulation parts. Nodes hold temporary data that may be reused for other calculations further in the graph. This technique offers great flexibillity, benefits from hardware capability improvements and is resilient to new regulatory requirements and demands. We will illustrate the potential benefits of Pascal according to performance expectations of NVLink, and how these features are helpful in the DAG compute environment.

GPU computing performance and capabilities have improved at an unprecedented pace. CUDA dramatically reduced the learning curve to GPU usage for general purpose computing. The Hybridizer takes a step further in enabling GPUs in other development ecosystems (C#, java, dot net) and execution platforms (Linux, Windows, Excel). Transforming dot net binaries into CUDA source code, the Hybridizer is your in house GPU guru. With a growing number of features including virtual functions, generics and more, the Hybridizer also offers number of coding features for the multi- and many-core architectures, while making use of advanced optimization features like AVX and ILP.

The solution and its features have been presented several times. Here are some events and presentations.