Financial Services Firms Burst Valuation and Risk Calculations to the Cloud with Numerix CrossAsset on Microsoft Windows HPC Servers and Windows Azure

“Real-time” Trading and Risk Demands Drive Cloud Innovation for Complex Derivatives

NEW YORK & TORONTO--()--Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives pricing, valuations and risk management, is fueling innovative ways to leverage Windows Azure, as evidenced at numerous Numerix client sites. To address real-time demands for trading and risk analytics, global capital markets leaders, including Sumitomo Trust and Banking Co. and Samsung Securities, have successfully leveraged Microsoft’s high performance and cloud-based computing in their Numerix implementations.

“Mounting regulatory compliance pressures compounded with unprecedented market volatility and counterparty risk concerns require our clients to calculate more granular, compute intensive risk metrics in near real time across a broad range of assets,” said Steven R. O’Hanlon, President and COO of Numerix. “Our clients’ trading desks rely on Numerix for real-time pricing and scenario analysis. At the same time, risk managers use our valuation and risk management solutions to analyze market and credit risk holistically across all of the desks. Numerix CrossAsset’s ability to seamlessly burst pricing calculations to the cloud lets our clients leverage cost effective high performance and cloud computing environments such as Windows Azure in innovative new ways to address all these new demands.”

“The Microsoft platform allows financial services firms to run solutions in both the public and private cloud, as well as on-premises, and change the mix as their needs change,” said Karen Cone, general manager, Worldwide Financial Services, Microsoft Corp. “Through our collaboration with industry technology leaders such as Numerix, we are focused on helping customers gain the benefits of cloud services on their own terms. By using Windows Azure to enhance and extend their existing investments in datacenters and applications with cloud-based improvements, our financial services industry customers can take advantage of transformative applications for even the most demanding, mission-critical operations such as real-time trading and risk analytics.”

Client Experiences

In one of many Numerix and Microsoft use cases, quantitative analysts rely on Numerix CrossAsset to model, price and manage their structured products portfolios. Traditionally, these analysts run risk calculations using extremely CPU intensive user driven Monte Carlo simulations on the Numerix desktop platform on-premise. To reduce the time it took to run these simulations so they would be able to run them more frequently and produce better, more granular results, Numerix and Microsoft explored ways to cost-effectively extend their mutual clients’ on-premise compute capability. In conjunction with a major Australian financial institution, they successfully completed a proof of concept in which calculations from the Numerix analyst’s desktop were offloaded to Microsoft Windows HPC (High Performance Computing) and Windows Azure. By shifting the Numerix workload off the PC and onto the grid, what took more than 5 hours to compute in a local workstation only took around 15 minutes using Microsoft Windows HPC and Windows Azure.

Recent benchmarks show that running Numerix CrossAsset on a Microsoft Windows HPC Server 2008 and Services for Excel 2010 increased portfolio calculation speed almost linearly as more compute nodes were added to the HPC cluster. To download a copy of the complete benchmark whitepaper, visit www.microsoft.com/enterprise/industry/financial-services/solutions/risk-analytics-reporting.aspx.

The Sumitomo Trust and Banking Co., Ltd., a wholly owned subsidiary of Sumitomo Mitsui Trust Holdings, Inc. is the sole financial group specialized in trust banking in Japan. The firm serves the asset management and administration needs of a broad range of institutional investors. They recently extended their existing Numerix CrossAsset implementation to leverage Microsoft’s HPC environment.

Itochu/CTC, distribution partner for Numerix and the largest Microsoft Windows HPC and Windows Azure distributor in Japan, led the successful implementation.

“Demand in the financial services sector for high-performance and cloud computing continues to grow at an aggressive pace,” said Mr. Shunichi Shimoji, Senior Manager, Financial Systems Advanced IT Planning Division, Itochu Techno-Solutions Corporation. “We have teamed with Numerix and Microsoft as their integrated offerings are well-suited to address the unique needs of this market.”

Samsung Securities Co., Ltd. is an investment bank headquartered in Seoul, South Korea. They leveraged the Numerix Software Development Kit (SDK) to integrate Numerix CrossAsset with their existing in-house capital market system and SAS Risk Dimension, a market risk system. Samsung improved performance and reduced operating costs by replacing their in-house grid with a private Windows Azure grid environment.

A Global Partnership

“As a Microsoft Global ISV partner, Numerix has not only integrated CrossAsset to seamlessly burst pricing calculations to Windows Azure,” said O’Hanlon. “We are committed to leveraging the breadth of the Microsoft suite across all our solutions where appropriate to best meet our clients’ needs.”

For more information on this partnership and the joint solutions it enables, visit www.numerix.com/partners.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Numerix offers clients a highly flexible and fully transparent framework for the pricing and risk analysis of any type of OTC derivative financial instrument. From vanillas and "semi-exotics" to bespoke derivatives, structured products and variable annuities, Numerix allows users to calculate prices and manage risk using any data set.

Since its inception in 1996, over 700 clients and 50 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in Australia, Beijing, Chicago, Dubai, Hong Kong, India, London, New York, San Francisco, Paris, Singapore, South Korea, Tokyo and Vancouver, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information, please visit www.numerix.com.

Contacts

Numerix
James Jockle, 646-898-1263
SVP, Marketing
jjockle@numerix.com

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Contacts

Numerix
James Jockle, 646-898-1263
SVP, Marketing
jjockle@numerix.com