Scotiabank Turns to Cloud GPUs for Risk Calculations
The Canadian bank has significantly improved the time it takes to run XVA calculations, and has big plans to further expand its XVA cloud GPU program.
At the end of 2016 into 2017, Scotiabank initiated a project that would allow it to use cloud GPUs to run its valuation adjustments (XVA) program. With the project gaining traction, the results have been impressive.
According to the bank, the runtime for risk calculations and derivatives pricing using cloud GPUs is 30 times faster, allowing brokers to deliver more accurate derivatives pricing in 20 seconds, which would previously have taken 10 minutes. It also allows for more nuanced risk
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