Since the financial crisis of 2008, regulators have been increasingly demanding in terms of risk analysis and stress scenario simulations. In this talk, we present an approach for counterparty risk calculations based on Directed Acyclic Graphs. Calculations are arranged in a tree, where nodes are simulation parts. Nodes hold temporary data that may be reused for other calculations further in the graph. This technique offers great flexibillity, benefits from hardware capability improvements and is resilient to new regulatory requirements and demands. We will illustrate the potential benefits of Pascal according to performance expectations of NVLink, and how these features are helpful in the DAG compute environment.
GTC Europe 2016 — S6155 — Presentation