Supercomputers help tackle financial risk

The current European economic landscape is leading economists and academic researchers to devise and put into practice more reliable and optimised quantitative tools and approaches to managing risks.

High-performance computing (HPC) is increasingly being used to solve big problems in business and finance. At the same time, an increase in the accuracy, reliability and frequency of financial analytics is driving financial institutions towards HPC. As a result, the need for financial experts with HPC skills has never been greater.

With EU funding, the 'Training in modern quantitative methods and high-performance computing for finance' (HPCFINANCE) project aims to develop and implement state-of-the-art techniques for derivative pricing and risk management through secondments.

To achieve this, the project is bringing together a multidisciplinary network of researchers. Through training events and research activities, 14 fellows are using HPC to work on practical and effective financial models. The focus of the research is on risk management, strategic asset liability management, financial models and volatility risk, numerical methods in contract pricing and HPC technologies in finance. Journal papers and a series of events have been produced supporting project findings.

By benefiting from and developing financial modelling through HPC, the fellows will be able to build a solid foundation for dealing with the future demands of the financial sector and for carrying out more robust risk management.

HPCFINANCE is fusing financial engineering with supercomputing infrastructure to make the regulatory and capital environment in the financial services industry less demanding and complex. Europe's finances stand to benefit, as will its financial institutions and their clients.