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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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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