Wall Street Firms Ramping Up HPC for Risk, Portfolio Analysis
June 16, 2008
A survey of high-level IT executives on Wall Street recently completed by Microsoft and KRC Research found that firms are facing increased demands to run real-time market risk analysis (25%), middle-office risk analytics (34%) and portfolio-related calculations such as rebalancing and hedging strategies (42%). These tasks all call for high-performance computing resources, such as hardware accelerators, fast databases and data grids. The respondents reported "a lot or some" demand for HPC to handle real-time market risk analysis (51%), middle-office risk analytics (50%) and portfolio-related calculations (54%).Equities is still the area of the highest high-performance computing investment. Asked in which lines of business they use HPC, 30% of respondents said equities, 23% said derivatives, 20% fixed income, 18% algorithmic trading, 13% commodities and 13% foreign exchange. The relatively low use of high-performance computing for algorithmic trading among the sample is puzzling. But nearly half the respondents were lending institutions rather than firms that trade, so that might explain that low number.
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