Coherent global market simulations for counterparty credit risk

Valuing and hedging counterparty credit risk involves analyzing large portfolios of netting sets over time horizons of decades. Theory dictates that the simulation measure should be coherent, i.e. arbitrage free and be used consistently both for simulation and valuation. This talk describes the mathematical formalism and the software architecture of a risk system that accomplishes this task while delivering a very rich set of 3-dimensional risk metrics to the end user, including portfolio loss distributions and sensitivities thereof. The network communication bottleneck is bypassed by using capable boards with acceleration. The memory bottleneck is overcome at the algorithmic level by adapting the mathematical framework to revolve around a handful of compute bound algorithms.