Disrupt Or Re-Invent Ourselves?

How vulnerable is our business? As vulnerable as that of the market participants in our market segments.

For years, we were in the given-a-problem-searched-a-solution innovation business. In modeling and simulation of complex technical systems.

Work and Knowledge - Wellsprings of Our Lives

compiled from Wilhelm Reich.

Today, we have launched UnRisk Academy, a new business unit that will package and transfer know how.

The Risk Analytics Factory

In Wired Nov-09, I read under World's Biggest Digital Brains that those, with names like Blue Brain, Discover, Ranger, .. are able to handle "many" teraflops, studying the inner working of the human brain, climate simulations, .....: Number of processors up to 16.000 for 500 Teraflops.

In Finance?

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.

If UnRisk was a Bike

it was most probably a YikeBike . It is rated one of the best 50 inventions of the year 2009 in Time magazine. YikeBike says: YikeBike is a statement about using smart technology to solve the problems of our increasingly congested, polluted, stressful cities.

In this case I relate it to our UnRisk-Q the quant-computing-and-developing system that packs the latest technologies into a minimalist infrastructure of a supercomputer-under-a-quants-desk. Shhh on NVIDIA Tesla. As YikeBike to be available in Q2 2010.

Main And Wall

are never going to love each other? (from am article in Time magazine, November 9, 2009). Meaning Main Street and Wall Street, synonymous for real economy and financial markets.

IMO, they are tightly bound to each other since we have instruments as media for asynchronous economic transactions: when Main has an idea but no liquidity or Main has liquidity but no idea, Wall shall have an answer.

Both interplay in good balance if their innovativeness balances well?

Made To Measure

No, this is not about the collection Made to Measure of the Belgian record label Crammed Disk. But it would be worth to mention the renowned artists having worked with musicians who contribute to the MTM collection: Jim Jamusch who produced the filmmusic to one of my favorites "Down By Law" (MTM 14), to name one.

However it is about intersections and interplay of art books, films, .. with music.

UnRisk FACTORY 2 Released. Quick after UnRisk 4

9-Nov-09, UnRisk took UnRisk FACTORY 2 to financial institutions for enterprise-wide real-time pricing and risk analytics strategies. Ten days after the release of the UnRisk PRICING ENGINE 4, FACTORY 2 incorporates all its new deal types and features, like expected coupon rate and survival probability calculations.

In addition to the new UnRisk 4 deal types, models and utilities, advanced filtering, automatic generation of all kind of schedules, user defined result aggregation all leading to highly automated tasks, UnRisk FACTORY 2 introduces visualization.

read more: UnRisk News - UnRisk FACTORY 2