Applying Vectorisation to CVA Aggregation
New challenges in the financial markets driven by changes in market structure, regulations and accounting rules like Basel III, EMIR, Dodd Frank, MiFID II, Solvency II, IFRS 13, IRFS 9 and FRTB have increased demand for higher performance risk and analytics. Problems like XVA require orders of magnitude more calculations for accurate results. This demand for higher performance has put a focus on how to get the most out of the latest generation of hardware.
Speakers
Jamie Elliot, Development Manager, Risk Architecture, Quantifi
Evgueny Khartchenko, Senior Software Application Engineer, Intel
https://www.quantifisolutions.com