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

July 2012 - The Numerical Algorithms Group (NAG) is delighted to announce its latest partnership with the HPCFinance network. Numerical algorithms in the NAG Library are used by practitioners in the finance industry around the world to reliably perform their complex computations whether that be managing risk or optimizing hedge fund performance. In conjunction with developing numerical algorithm libraries, NAG provides world-class high performance computing (HPC) services via a dedicated team of in-house HPC experts. The nature of NAG's software development coupled with their HPC expertise aligned perfectly with the stated goals of the new HPCFinance network making them natural partners. NAG will be providing HPC services training and software to the HPCFinance researchers enabling their computational finance research.

The HPCFinance network aims to proactively equip young people with the necessary skills to enable them to respond to future requirements and to provide solutions for the effective management of financial risks using HPC techniques. The objective of the network is to help improve the financial strength of banks, pension funds, insurance companies, other financial institutions and hence benefiting households throughout Europe. In achieving its goals, HPCFinance will provide the European finance community with new robust financial models and specialists, with state-of-the-art skills, in computational finance. 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 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 modelling 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 partners 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.