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New HPC Partnership For Portfolio and Risk Management



Describing itself as a 'cross-asset portfolio and risk management solutions provider', London and New York headquartered Sophis has this week entered into what it calls as a significant partnership with Platform Computing, a cluster, grid and cloud management software company for the financial services industry.

Sophis will now offer an integrated solution to sit alongside the Platform Symphony grid computing middleware product for users in the banking, insurance and investment management sectors to distribute resource-hungry calculations such as risk simulations and value at risk (VaR).

Before going public with their new joint offering, Sophis and Platform carried out a benchmark test on their combined solution at IBM’s Product and Solution Support Centre (PSSC) in Montpellier, France during July 2010 on hardware including the IBM Power 750, IBM XIV Storage System, IBM System x3850 M2 and IBM BladeCenter HS22.

According to Sophis, "Using 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 value at risk (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."

The company also explains that by speeding up calculations using a grid approach, they can introduce an intra-day VaR calculation for customers and that his helps comply with the latest guidance on risk management and reporting.


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