grid computing

Archi & Techno

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Bank's current systems and issues Today, Retail and Private Banks' Core Banking System (CBS) and Portfolio Management System (PMS) are strong assets. They have matured over the years and are often a very solid basis for the rest of the satellite IT systems. They are used to efficiently manage the basic core banking data, like clients, portfolios, their security composition, the pending orders, the market transactions and so on. Portfolio-level and bank-level consolidated metrics however are often based on long running algorithms and are therefore…

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Utiliser GridGain pour le calcul de la Value At Risk

Après un premier article introduisant l'intérêt de la Value At Risk and du calcul en grille, nous allons désormais étudier l'implémentation de cet algorithme en utilisant un middleware de calcul en grille. J'ai choisi GridGain, un middleware open source qui implémente le pattern map/reduce (cf. mon précédent article). Pour commencer, je vais donner un aperçu de l'implémentation de la Value At Risk indépendamment de l'architecture de calcul en grille. Ensuite, je décrirai le middleware GridGain et les classes à implémenter pour tirer parti de la…

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Archi & Techno

Using GridGain for Value at Risk calculation

After a first published article introducing the Value at Risk interest and calculation on a Grid, we will now explore the practical implementation by using a grid computing middleware. I have chosen GridGain, an open source grid middleware which implements the map/reduce pattern (see previous article). Firstly, I will give an overview of the Value at Risk implementation independently of the grid computing architecture. Then I will describe the GridGain middleware and the classes that have to be implemented to take advantage of the grid.…

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Archi & Techno

Introduction to Grid Computing for Value At Risk calculation

Risk management is today a strategic objective for financial institutions such as, but not limited to, investment banking and insurance companies. Such risk evaluation uses advanced mathematical theory and requires a lot of data computing. In this article, we will introduce basic concepts of Value At Risk estimation in order to show which kind of calculation is required. We will introduce grid computing in order to show how such architecture can help financial companies producing quickly these very important VAR figures. In later articles, we…

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Introduction au calcul en grille pour l’évaluation de la Value At Risk

La gestion des risques est aujourd'hui un objectif stratégique pour les institutions financières telles les banques d'investissement et les compagnies d'assurance. Une telle évaluation du risque utilise des mathématiques théoriques avancées et nécessite une grande puissance de calcul. Dans cet article, nous allons introduire les concepts de base de l'estimation de la Value At Risk de façon à montrer quel type de calcul est requis. Nous allons introduire le calcul en grille (grid computing) de façon à montrer de quelle façon une telle architecture peut…

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