Societe Generale has achieved significant performance benefits through Algorithmics Incorporated’s Linux-based Algo Credit solution, according to the technology company.
“The benefits of running our Algorithmics solution on Linux are tremendous. In addition to the improved performance and scalability, we have experienced reduced hardware, services and implementation costs,” says Pierre Gaye, deputy head of capital markets in the risk division at Societe Generale.
Societe Generale uses Algo Credit’s ability to forecast the mark-to-market values of deals in the portfolio at a given time horizon in the future. From these distributions, the bank can calculate a variety of risk indicators, such as potential future exposures for different confidence levels. Societe Generale is now simulating approximately half of the financial instruments within its credit exposure book on a Linux-based architecture, significantly enhancing the performance of the bank’s Algo.
Running half of the financial instruments on a grid of HP Proliant DL360 G4s with dual Intel Xeon 3.6GHz processors, Societe Generale has achieved a 33% performance increase on their entire portfolio. The final performance gain will be even higher when Socit Gnrale moves the remaining credit exposure simulations to Linux over the coming months. The time savings will allow Societe Generale to calculate more accurate credit exposures within the overnight batch window by allowing the bank to add more scenarios to the simulation.