JP Morgan says disposable computing is key to IT

Speaking at the Waters 2002 financial and risk management technology congress this morning in New York, Neiman said it rapidly became apparent that the cost of buying specialised hardware for each derivatives product line was prohibitively high, especially since the firm’s appetite for computing capacity steadily grows, and systems designed for one product often do not work well for others. “Risk management systems are always asked to do more and more – more volume, more complexity, more everything,” he said. In particular, modelling exotic derivatives – which Neiman said comprise roughly 8% of the firm’s derivatives business – is very computationally intensive.

To achieve a scaleable and cost-effective solution, the firm has exploited the plummeting cost of generic computer hardware to build what it calls a “compute backbone” comprised of scores of identical computers that can simply be thrown out and replaced when they fail – and with hundreds of them working in concert, some fail every day, Neiman says.

The key to the system’s success is a fault-tolerant layer of software that sits between the hardware itself and the object-oriented software tools used to build and run the risk management systems, Neiman said. This layer offsets the lack of fault-tolerance in the hardware by distributing the computational tasks among the computers and re-routing around problem units, in an approach borrowed from old-fashioned batch processing computer systems. This keeps costs down. “Building fault-tolerant hardware is extremely expensive; fault-tolerant software isn’t,” Neiman noted.

One delegate asked why the firm used a dedicated computer farm, rather than using so-called peer-to-peer technology to exploit underused desktop PCs. Neiman responded that JP Morgan Chase’s risk modelling needs would rapidly outstrip that capacity.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Next-generation technologies and the future of trading

At a Risk.net webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here