Navigating the Technology Demands of Sound Counterparty Risk Management

The views and opinions expressed in this presentation are

those of the speaker’s and do not necessarily reflect the

official policy or position of Microsoft

PROCESS

Modeling

Automation

Governance

PEOPLE

Awareness

Experience

Culture

TECHNOLOGY

Price / Performance

Data Management

Reliability & Scalability

Scenario Generation

Instrument Valuation

Portfolio Aggregation

Credit Value Adjustment

Trades Path Steps # of Obsrv

HVaR 99% 10,000 250 1 2,500,000

MCVaR 99% 10,000 1000 1 10,000,000

PFE 99% 10,000 1000 100 1,000,000,000

Trade Data Reference Data

Market Data Collateral & Netting

Ad-hoc Analysis

Risk Reports

Excel

Data Quality &

Transformation

High Performance

Computing Grid

(CVA Calculation)

Capacity Burst

into Cloud

Client Drivers

ETL Load

Interface

Support/Patching

Corporate Backup

Solution

CONTROL

RACKDATA RACK

Control Node

Management Node

Landing Zone

Backup Node

On-premise

Desktop User

HPC Head Node

Broker Node(s)

HPC Cluster

Desktop Compute Cloud via

Idle Win 7 Workstation Cores

Azure Compute Instances

Azure Compute Proxies

Company decision makers were so impressed, that

they asked our risk managers to recalculate

every simulation that they had run over the

previous year in just two weeks

Hein Brat

Program Manager, ING Insurance Benelux

• Monte Carlo Risk simulations were time consuming and infrastructure intensive

• The bank initiated project on the Microsoft platform with Numerix, a leading

risk solution provider, to burst computations from the High Performance

Compute Server to the Microsoft Azure cloud

• Calculations that took 300 minutes on a PC, took 30 minutes with six Azure

nodes or 15 minutes with 20 Azure nodes