Platform Computing and Sophis have teamed up to offer a new integrated solution for financial service customers to distribute their computationally-intensive calculations such as P&L and sensitivities calculations, instrument pricing, risk simulations and value at risk (VaR).
To prove the value of the distributed computing solution, Sophis and Platform ran a benchmark that was representative of a true portfolio on IBM’s latest hardware. Running a historical VaR calculation on a multi-asset portfolio with 32,000 positions, the test took four hours using less than 300 nodes and less than 90 minutes using slightly over 800 nodes with no apparent limitation and linear scalability.
The results of this benchmark with Platform Computing are very good news for our customers, who have increasingly demanding risk management and portfolio valuation requirements,” said Samer Ballouk, Head of Product Management and Business Development at Sophis. “By speeding up calculations using a grid approach, they can introduce an intra-day VaR calculation, for example, and comply with the latest guidance on risk management and reporting.”