In-house system of the year: Danske Bank
The magic of adjoint algorithmic differentiation means Danske's traders can now calculate CVA in 10 seconds, using standard hardware
When the markets business at Danske Bank challenged its quants to give it a tool that would allow real-time pricing of derivatives counterparty risk, it might have seemed a pipe dream. Working out the credit valuation adjustment (CVA) for each new trade necessarily means considering its effect on an existing portfolio, quickly tying up human and computing resources.
But, after two years of work, the quants delivered in early 2014.
"There are banks out there using thousands of computers to
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