Release of version 5.0 of the VAR+ system

CD Financial Technology Ltd development team has been working for a long time on vastly extended releases of its risk platforms. The development work has now been completed on the new generation of the VAR+ market risk system, VAR+ Release 5.0. Extensive testing has been carried out on the system during the last 8 months, and it is currently being implemented to existing clients.

The main new features of version 5.0 are:

-The computation engine is now programmed in C++.

-The VAR+ system is consequently even much faster than before, facilitating in multi-processor implementations a near-real-time performance even for largest of applications.

-The pricing library has been extended both in terms of number of instruments and in terms of valuation procedures; pricing and valuation sequences have been improved by minimizing unnecessary multiple valuations of identical positions in different portfolios.

-The new computation engine is part of a modular risk platform, in which very different applications such as market and credit risk analyses and default probability estimations for the Internal Models approaches of the forthcoming Basel regulations can be performed based on same simulations and same market/estimate/ transaction data interfaces.

In terms of performance gains, Release 5.0 in its fastest edition is at least 500% faster on a single processor platform than earlier releases, depending on the model and portfolio structure of customer. Release 5.0 is scalable to multiple processors and multiple computers, and could thereby gain easily performance improvements of a factor of 25 over the previous generation technology. The calculation engine of Release 5.0 is more stable and more efficient in memory usage than the existing version. Simulations involving over 1000 random factors have been easily performed in the new platform - this would not have been possible in the older generation platforms.

In risk management a question has been sometimes asked: Why use Monte Carlo simulation, when lesser methods are satisfactory for many applications, and when the largest applications cannot be run – not at least in a reasonable time – in a simulation platform.

The VAR+ Release 5.0 finally and for good puts an end to such questions and concerns. Instead, with strong justifications a different question can be raised: Why use lesser methods at all, when any application can be run fast enough in a Monte Carlo simulation platform, facilitating for instance a bank adopting and implementing the capital-saving Advanced approaches in the forthcoming Basel guidelines.