AAD vs GPUs: banks turn to maths trick as chips lose appeal

Soaring computational demands for derivatives businesses are pitting fancy chips – the obvious solution – against a mathematical trick that approaches calculations backwards. Banks that have braved the latter say it is cheaper, quicker and opens the door to previously impossible feats. By Nazneen Sherif


At a sombre meeting of its senior staff late last year, the foreign exchange business at one of the smaller European dealers was looking into the costs of managing its derivatives counterparty risk. Banks cover this risk by adding what is known as a credit valuation adjustment (CVA) to each trade – a hugely complex exercise, which involves working out the path every trade in a portfolio will take during its life, as well as the chances of each counterparty blowing up and the extent to which

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