Video here. In this video, Watch Peter Richards and Stephen Weston from J.P. Morgan present a Stanford Computer Systems Colloquium discussing their use of Maxeler FPGA accelerator technology. This is a straight forward and clear talk worth watching. The optimization stuff they talk about is sensible, the war stories about conversion from templates to C indicates they are kind of in the right place from the perspective of optimization ( the talk is a little light on optimizing compilers perhaps not surprising given their target is FPGAs). At 23:00 speaker confirms we are talking about P&L and risk in this batch not CVA Monte Carlo. Several 100K positions, 1000s of CDO tranches and some CDO square positions. Study quoted FPGAs for bespoke tranche valuation and risk while GPUs for CDS valuation and risk. They use standard Gaussian Copula w. Stochastic recovery (see 41:32) for the correlation trades. Optimization boils down to the time required for fitting the correlation cube. Interesting that there are Monte Carlo and tree based valuation models in flight and JPM took a 20% ownership stake in Maxeler.
Delivering the next generation of supercomputing with reconfigurable hardware video O. Mencer, here.
League tables for CDO arrangers 2011, here. JPM did one CDO/CLO in Europe and one in US in 2011 according to these folks at Leading Structured Finance News. I don’t believe the other structures are going to be handled in the credit batch. Maybe there is a lot of prop trading in standard tranches that needs realtime correlation risk - let’s look. Need to find global CDO issuance in 2010 and 2011 but here is 2005 through 2009. You can see why fast Gaussian Copula would have been great between 2005 and 2007.
