A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model (Q1978669): Difference between revisions

Asset and Liability Management (ALM) models represent an important tool for banks and finance companies to measure the volatility of expected revenues. These models -- usually static and deterministic to fit conventional computer resources -- may be much more useful if a dynamic stochastic simulation is adopted. This makes it possible to increase the precision of risk estimation. In this paper the parallelization strategy adopted to implement such a stochastic ALM code is described, together with porting and code performance issues. The very good timings obtained on a 128-proc Cray T3E are reported. Anyway the code is easily portable on other, possibly heterogeneous, high-performance computing platforms.