Global Valuation
Reinvention of Risk & Pricing

Global Valuation brings XVA and complex Portfolio Risk to the desks of Traders and Risk Managers - without compromise.

Most Financial Institutions require enormous grids to perform portfolio risk such as XVA. Calculations are only able to run thousands of paths that take days or months to complete.

Global Valuation can comfortably calculate over a billion paths for millions of trades in a fraction of the time - and on modest sized hardware.

XVA Trading

Libor

FRTB

Stress Testing

Model Risk

Market Data Services

Capital Optimisation

Collateral Optimisation

Insurance Risk Margins

Solvency II

Global Valuation is built without mathematical compromise to maximise the latest capabilities of processors and memory in the age of AI

Current quant methodology was conceived in the 1990s, when algorithms were compute-bound and memory was limited. Risk, pricing and machine learning all relied on clever mathematical shortcuts designed to circumvent the inability to multiply matrices directly. A range of sophisticated tools were deployed for this purpose, based on the theory of partial differential equations, stochastic calculus, harmonic analysis, special functions and complex analysis.

Around 2005, a revolution happened: direct matrix multiplication became computationally viable and the best way to utilise modern chips. 

 

Matrix Multiplication became the King of algorithms and ushered in the age of Artificial Intelligence and Machine Learning.

 

Recognising that the Risk and Pricing domain is about to undergo a similar revolution, Global Valuation has pioneered matrix methods in Financial Services since the beginning, developing technologies that are ready to revolutionise quantitative risk practices.

Most Financial Institutions require enormous grids to perform portfolio risk.
Calculations are only able to run thousands of paths that take days or months to complete. 

Global Valuation provides enormous step changes in the scale of the calculations possible and the modest size of the platforms required

2m+

Typical Trade Portfolio

10k+

Typical Counterparties

10k

to

1bn+

Monte Carlo or Nested Monte Carlo Paths

128

Processing Cores

10k+

Typical Risk Factors

These massive risk calculations can be performed in hours using our unique vectorising compiler and matrix multiplication platform. Portfolio Risk can now be commoditised to the desks of traders and risk managers and performed as part of the business transaction.

Matrix Multiplication and Tensor Algebras are driving the world of AI and Cloud – but they are only reaching Finance Risk Management now, with Global Valuation

Are You Ready to manage your most complex risk with 3D visualisation?

Global Valuation do not use model shortcuts. The power of matrix multiplication, our universal solver and our vectorised compiler technology deliver enormously detailed and strongly stable analytical results.

Do your risk models give you this level of detailed visualisation and insight?