CONTEXT
BNP wished to implement risk pricers to be able to process the volume of market data.
Due to the introduction of Bale III reforms and the AMF (“Autorité des Marchés Financiers”) requirements, the volume of market data to treat on a daily basis has been increasing steadily. Existing applications were not able to adapt to the increasing numberof the possible scenario.
SOLUTION
Resize the grid computing to be able to execute all the required scenarios.
Replace the existing applicative system by increasing the daily operational scope.,
Reduce the infrastructure and HR costs (Simple and efficient).
RESULT
Separating the software library and the data orchestration.
Introduction of pricing development automation
Separating the grid/production/support and mathematical modelling departments
Reduction of operating computing machines: from 5000 cores to 320 cores (hybrids CPU/GPU).
