Sophis, a provider of cross-asset, front-to-back portfolio and risk management solutions, has partnered with Platform Computing, a provider of cluster, grid and cloud management software for the financial services industry. As a result, Sophis is now offering an integrated solution with Platform Symphony for users in the banking, insurance and investment management sectors to distribute resource-hungry calculations such as profit and loss (P&L) and sensitivities calculations, instrument pricing, risk simulations and value at risk (VaR).
Sophis and Platform carried out a benchmark test on their joint solution at IBM’s Product and Solution Support Centre (PSSC) in Montpellier, France during July 2010 on IBM’s latest powerful hardware: IBM Power 750, IBM XIV Storage System, IBM System x3850 M2 and IBM BladeCenter HS22.
Using over-the-counter (OTC) structured products, the test ran a historical VaR calculation on a multi-asset portfolio with 32,000 positions, which was representative of a true portfolio. The test, computing VaR calculations with 270 historical scenarios, took four hours using less than 300 nodes and less than 90 minutes using slightly over 800 nodes with no apparent limitation and linear scalability.
Samer Ballouk, head of product management and business development at Sophis, said: “The results of this benchmark with Platform Computing are very good news for our customers, who have increasingly demanding risk management and portfolio valuation requirements. By speeding up calculations using a grid approach, they can introduce an intra-day VaR calculation, for example, and comply with the latest guidance on risk management and reporting.”
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