Accelerate Value At Risk (VaR) Algorithm

Reduce time to result on a Monte Carlo calculation from 18h to 2h


Legal & General, one of the largest world finance and insurance services companies, is engaged into a very innovative Digital Transformation, which goes from the services offered to its customers to the management of its IT Applications and Infrastructure.

As part of this strategic evolution, this talk presents how L&G together with Activeeon Software and Services was able to replace 2 schedulers (Tibco DataSynapse and IBM AlgoBatch) with ProActive Workflows & Scheduling, and migrate the Solvency application to the Azure Cloud. A key aspect has been the ability to pipeline CPU-intensive tasks with I/O intensive ones. This alone allowed for 10% overall savings in runtime and grid resources, and for the high priority risk reports to be made available to customers 3x faster than the previous solution (18 hours down to 2 hours for priority reports).

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