You cannot predict extreme events. Studying the past will also not help to manage all risk. You need to ask What-If, Provided-Then, .. questions?!
Simulate deals across comprehensive scenarios can become heavy within a bank, not to speak about market segment, sectorial analysis, .. Such simulations are not performed, because of technological limitations.
A portfolio of 1000 moderately complex structured instruments (average valuation time 10 sec) across 10.000 scenarios would take more than 3 years on a single core process. To get the result in 10 seconds, a speed up of 10 Million was required.
Can we imagine to set up affordable risk-answering-factories with such a performance?
First, kernel sw would need to take its part, say, by doing principle component application , surrogate models. Speed-up of 1000. Still 10.000 to do.
Put part of the valuations on a Personal Supercomputer from NVIDIA (quad-core machine plus GPUs), and you can get a speed-up of approx.100.
Still 100 to do. With the help of Mathematica's symbolic parallelization techniques, we have made UnRisk grid-enabled and optimized for close to linear speed-up related to the available core processes. Provided, we take a networked pool of 128 core processes. 32 Tesla personal Supercomputers for the job?!
Luckily, we have selected the right algorithms and technologies to multiply speed-up. NVIDIA implementation to come next. And yes, it is possible.