NVIDIA: JP Morgan risk calculations get 40x boost with Tesla GPUs

Posted on Thursday, Aug 04 2011 @ 16:59 CEST by Thomas De Maesschalck
NVIDIA announced that J.P. Morgan is now able to do complicated risk calculations in minutes, not hours, thanks to the company's Tesla GPUs:
NVIDIA announced today that its Tesla(TM) GPUs are being used by the largest investment bank entity, J.P. Morgan, to deliver a 40X increase in the end-to-end speed of its risk calculations, while reducing the cost of ownership.

As part of a three-year plan to reduce the computational costs of risk calculation by 75 percent, J.P. Morgan's Equity Derivatives Group added NVIDIA(R) Tesla M2070 GPUs to its datacenters. More than half the equity derivative-focused risk computations run by the bank have been moved from running on just CPU-based systems, to running on hybrid GPU/CPU-based systems. Utilizing GPUs as companion processors has accelerated application performance by 40X compared to running them on CPUs alone and delivered over 80 percent savings, enabling greener data centers that deliver higher performance for the same power.

For J.P. Morgan, this is game-changing technology, enabling the bank to calculate risk across a range of products in a matter of minutes rather than overnight. Tesla GPUs give J.P. Morgan a significant market advantage. Even the longest-running exotics instruments can be calculated on an as-needed basis, faster than ever before, enabling more frequent runs and more complex scenario calculations.

NVIDIA Tesla GPUs are deployed in multiple data centers across the bank's global offices via its Compute Backbone infrastructure. With this technology, J.P. Morgan is able to seamlessly share the GPUs between tens of global applications. This integration of GPUs into the shared global computational infrastructure has resulted in GPU utilization rates approaching 70 percent, 24 hours a day.

Risk management is a huge and increasingly costly focus for the financial services industry. A cornerstone of J.P. Morgan's cost-reduction plan to cut the cost of risk calculation involves accelerating its risk library using GPUs as companion processors and the integration of NVIDIA Tesla GPUs into its global grid computing infrastructure. This change has not only reduced the total cost of ownership of J.P. Morgan's risk-management platform but it has also created a leap forward in the speed of risk calculations and the speed with which client requests can be serviced.

About the Author

Thomas De Maesschalck

Thomas has been messing with computer since early childhood and firmly believes the Internet is the best thing since sliced bread. Enjoys playing with new tech, is fascinated by science, and passionate about financial markets. When not behind a computer, he can be found with running shoes on or lifting heavy weights in the weight room.

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