A client needed to equip the risk management team with an innovative risk management tool, to drive the exposure to sovereign and credit debt instruments.
We defined together the interest rate, credit and FX rate risk models to implement, and decided to go for a Monte-Carlo full valuation method. The model is calibrated with market data, including credit spreads to define an internal rating scale and transition matrix. The project is rolled-our using SCRUM methodology.
We created a multi-tier application with C#, C++, SQL and CUDA technologies to support a Nvidia GPU-based simulation engine. For a low infrastructure overhead we implemented a solution that was sixty times faster than its Intel i7 CPU-based benchmark. Time was reduced from minutes to seconds. Back-test, stress-test and robust workflow features are added to strengthen the application. The financial model success was demonstrated by detecting Euro Crisis three months before rating agencies downgrade Greece rating.