In contrast to the market risk award, which has changed hands every year since the Sell-Side Technology Awards started in 2013, there has only ever been one winner of its sister category in credit risk—Numerix. There’s a reason for that—none come close to capturing the mathematical and technical prowess of the Park Avenue, New York-headquartered firm, which traces its roots back to a small group of PhDs who sought to bring academic rigor and leadership to financial markets over 20 years ago.
It’s certainly the right time for Numerix’s particular focus on risk management to come to the fore. Increasingly, derivatives users are faced with a barrage of counterparty risk requirements, from complex, often confounding models through to data analysis that in the past would have required farms of servers to accomplish in the timeframes specified. The various valuation adjustment measurements (XVAs), in particular, have been front-of-mind for most market participants, from hedgers through to dealers.
To assist with the increased load over the past year, Numerix has decoupled its user interface, while moving away from in-memory technology. “We decoupled the calculations from the user interface to improve performance—where our powerful calculation engine can be called [by a programming function] instead of leveraging in-memory technology. This has made the applications much faster, usable and easier to scale,” says Steve O’Hanlon, CEO of Numerix. “With exposure calculation performance improvements, significant memory is saved during the calculation. Less memory can reduce the amount of hardware needed, and therefore cause XVA to not only run more efficiently, but less costly.”
The firm has also partnered with graphics processing unit specialist Nvidia, using its technology to bring GPU-accelerated technology to market. While firms have been using GPUs for years, the emergence of high-pressure calculations, not to mention the strain of modern data-processing requirements, have made the use of the technology all but essential. “We consistently see GPU technology provide significant acceleration to our core risk and pricing algorithms compared to existing CPU platforms,” says O’Hanlon. “Further, we see this acceleration factor readily scales across multiple-GPU servers, allowing Numerix an almost unlimited ability to scale our CrossAsset and Oneview Platforms to meet the most demanding compute needs of our global customer base.”
Looking ahead into late 2018 and beyond, the firm will be enabling cloud services through “a new managed services component,” O’Hanlon says.
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