My talk given at PRMIA (Professional Risk Manager's International Association) event in Singapore, September 2012

2. The views and opinions expressed in this presentation are
those of the speaker’s and do not necessarily reflect the
official policy or position of Microsoft

3. PEOPLE
PROCESS
Awareness
Experience
Culture
Modeling
Automation
Governance
TECHNOLOGY
Price / Performance
Data Management
Reliability & Scalability

4. Scenario Generation
Instrument Valuation
Portfolio Aggregation
Credit Value Adjustment

6. Trades
Path
Steps
# of Obsrv
HVaR 99%
10,000
250
1
2,500,000
MCVaR 99%
10,000
1000
1
10,000,000
PFE 99%
10,000
1000
100
1,000,000,000

7. Trade Data
Reference Data
Market Data
Collateral & Netting

8. Risk Reports
Data Quality &
Transformation
Ad-hoc Analysis
Capacity Burst
into Cloud
High Performance
Computing Grid
(CVA Calculation)
Excel

9. Control Node
Client Drivers
Management Node
Support/Patching
ETL Load
Interface
Landing Zone
Backup Node
Corporate Backup
Solution
CONTROL
RACK
DATA RACK

10. On-premise
Desktop Compute Cloud via
Idle Win 7 Workstation Cores
HPC Head Node
Desktop User
HPC Cluster
Broker Node(s)
Azure Compute Proxies
Azure Compute Instances

14. Company decision makers were so impressed, that
they asked our risk managers to recalculate
every simulation that they had run over the
previous year in just two weeks
Hein Brat
Program Manager, ING Insurance Benelux

15. • Monte Carlo Risk simulations were time consuming and infrastructure intensive
• The bank initiated project on the Microsoft platform with Numerix, a leading
risk solution provider, to burst computations from the High Performance
Compute Server to the Microsoft Azure cloud
• Calculations that took 300 minutes on a PC, took 30 minutes with six Azure
nodes or 15 minutes with 20 Azure nodes