Performance

FM Converge modern architecture allows for ultra-high performance processing of risk calculations without compromising on accuracy. Our approach involves micro-services, multi-threading, in-memory data grid and GPU where applicable, providing a superior response in calculations, rendering of results and on the fly analysis. The performance benchmarks below involved a diversified portfolio of OTC, securities, derivatives and exotic products, representative of a bank real-life exposure.

• Outputs include MTMs, Bucketed Greeks, VaR, Expected Shortfall (aggregate and by risk class)
• FRTB-SA computations involve Delta, Vega, Curvature Sensitivities, Default Risk Charge and Residual Risk Add-On
• FRTB-IMA computations Stress Period identification over 10+ years, Expected Shortfall by Risk Factor and Liquidity Horizon