Sydney, Australia â October 1st 2003.
IT&e has recently completed a comprehensive performance test on Razor, IT&e's flagship credit risk management product. The performance tests were conducted at IBM's Sydney based performance lab. The results confirm Razor is the first credit risk software product that meets the demanding performance requirements of large financial institutions with the calculation accuracy of Monte Carlo simulation.
Razor's high performance design capitalises on the latest in distributed processing techniques to enable high performance processing at affordable hardware prices.
The IBM test was performed on a cluster of 9 IBM xSeries dual Xeon 2.4 GHz machines. A portfolio of 100,000 representative transactions spread across 15,000 counterparties was used. A 5,000 path Monte Carlo analysis over 50 time periods was run. A series of tests were run including full batches, pre-deal checks and incremental trade updates. Highlights of the performance test include:
1. Full batch simulation in 2.5 hours. This included 9 billion valuations - equivalent to 60 million valuations per minute.
2. Sub second pre-deal check. Mark to Market plus add-on pre-deal checks performed in less than 0.2 seconds
3. Monte Carlo pre-deal check. Full Monte Carlo based pre-deal check on Interest Rate Swap applying netting and economic offsetting in less than 5 seconds.
4. Intra-day throughput - Processing of 30,000 incremental transactions per minute.
"These results confirm that accurate, near real-time credit risk management is now feasible and affordable." explains Malcolm Warne, IT&e's Head of Razor Sales. "As well as delivering high performance at relatively low cost, Razor's architecture has the additional advantage of scaling for future business growth by adding new, relatively low cost additional machines."
Razor's distributed processing architecture shares the calculation workload across multiple machines to significantly reduce execution run-times. Razor's architecture has gained international acclaim for its' optimal use of all available technical resources. Intel has published a case study based on the design concepts used in Razor as an example of state of the art software engineering.