SunGard has taken a page out of the video game world, using graphical processing unit (GPU) technology, which is used to generate real-time effects and graphics in video games, to develop a new risk calculation engine.
The new engine, which is embedded in many SunGard solutions such Ambit Asset Liability Management (ALM) and treasury solutions, came as a result of firms conducting scenario based risk and sensitivity analysis amidst growing demands for greater understanding of counterparty risk and credit-valuation-adjustment (CVA) measures, says SunGard.
“Added to this is the increasing pressure to be more responsive to evolving regulatory reporting requirements in rapidly changing markets. Banks and financial institutions are having to analyze thousands of different scenarios. As a result, simple market risk analysis on a modest single portfolio could have over 1 million different valuations, credit risk analysis could be at least 50 million valuations and a full stress test over 500 million valuations. These valuations must be run simultaneously and incredibly quickly,” says the company.
In response, SunGard used GPU technology, which is also used in Sony’s PS4, because this type of technology “can process thousands of simple scenarios simultaneously because of the multi-dimensional nature of their processing set up,” says SunGard. “The new offering will help make risk calculations up to five times faster, processing up to 100 million risk valuations per second.”
The engine also uses the more common central processing unit (CPU) technology in combination with GPU, and banks can leverage their existing infrastructure and engineers.
“Typically leveraging the advantages of GPU’s would have been a costly exercise for banks, because GPU programmers are in demand. The new offer from SunGard can help those who want to benefit from the processing power of GPU technology but not invest in new competencies,” says Rik Turner, senior analyst at research and advisory firm Ovum.
SunGard Leverages Video Game Technology for Risk Calculation Engine
SunGard has taken a page out of the video game world, using graphical processing unit (GPU) technology, which is used to generate real-time effects and graphics in video games, to develop a new risk calculation engine.