Rapid computation of value and risk for derivatives portfolios

SUMMARY We report new results from an on‐going project to accelerate derivatives computations. Our earlier work was focused on accelerating the valuation of credit derivatives. In this paper, we extend our work in two ways: by applying the same techniques, first, to accelerate the computation of portfolio level risk for credit derivatives and, second, to different asset classes using a different type of mathematical model, which together present challenges that are quite different to those dealt with in our earlier work. Specifically, we report acceleration over 270 times faster than a single Intel Core for a multi‐asset Monte Carlo model. We also explore the implications for risk. Copyright © 2011 John Wiley & Sons, Ltd.