Financial Risk Management through High Performance Computing - New Partnership for NAG

Press Release  •  Jul 05, 2012 11:27 BST

July 2012 - The Numerical Algorithms Group (NAG) is delighted to announce its partnership with the HPCFinance network. Numerical algorithms in the NAG Library are used by practitioners in the finance industry all over the world to aid complex financial computation whether that be managing risk or optimizing hedge fund performance. In conjunction with developing numerical algorithm libraries, NAG provides world-class high performance (HPC) services via a dedicated team of in-house HPC experts. The nature of NAG's software development and HPC activities led them to partner with the new HPCFinance network. NAG will be providing HPC services training and software to the HPCFinance researchers enabling their computational finance research.

The HPCFinance network aims to proactively train young people to respond to the future requirements and provide solutions to manage financial risks by high-performance computing (HPC). The network will help to improve the financial strength of banks, pension funds, insurance companies, other financial institutions and households inEurope. In achieving these goals, HPCFinance will provide the European finance community with new robust financial models and specialists in computational finance holding state-of-the-art skills. HPCFinance is a Marie Curie Initial Training Network, funded by the European Commission with the budget of 4,101,000 EUR within the 7th Framework Programme.

Research and training will be provided in robust financial models and numerical methods on HPC platforms with emphasis on hybrid products and asset and liability management. HPCFinance stands at the crossroads of computational finance and technology. “The main goal is to train PhDs who are experts not only in quantitative finance but also in high-performance computing. At the same time, we help the European financial sector to apply new models, numerical methods and computational platforms”, says project coordinator Juho Kanniainen. The project develops and integrates more realistic robust models for volatility, interest rate and counterparty risk on efficient HPC platforms.

The intended research is not only academically but also practically relevant as the program is built around real life challenges identified together by the academic and private sector partners.  “In fact, regulatory initiatives such as Basel III and Solvency II require the financial industry to gear up to more robust standards in real-time and enterprise wide risk management”, comments Erik Vynckier, Investment Director at the Scottish Widows Investment Partnership (SWIP).  According to Vynckier, “the HPC Finance initiative aims to help the European financial industry to routinely adopt the most advanced modeling techniques and computational platforms available today”.

HPCFinance consists of 8 companies and 7 universities representing investment and insurance companies, banks, consultants, and high-performance computing solution providers. In this way, the intended research is not only academically but also practically relevant as the program is built around real life challenges identified together by the academic and private sector partners. In addition, the training conducted in HPCFinance will enhance partner universities’ capabilities to exploit HPC technologies in their Master and PhD programs in finance.

Joining NAG as partner to HPCFinance are Scottish Widows Investment Partnership, Cambridge Systems Associates, Techila Technologies, Tampere University of Technology, Aarhus University, Maastricht University, The University of Manchester, Citigroup, Barrie & Hibbert, Maxeler Technologies,  Vilnius University, Universidad de Málaga, Åbo Akademi University, and Bgator Ltd.

The Numerical Algorithms Group (NAG) is dedicated to applying its unique expertise in numerical engineering to delivering high-quality computational software and high performance computing services. For over 40 years NAG experts have worked closely with world-leading researchers in academia and industry to create powerful, reliable and flexible software which today is relied on by tens of thousands of individual users, as well as numerous independent software vendors. NAG serves its customers from offices in Oxford, Manchester, Chicago, Tokyo and Taipei, through staff in France and Germany, as well as via a global network of distributors.

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