High-Performance Portfolio Risk Aggregation
2019-07-23, 17:25–17:35, Room 349

We will talk about how a risk management use case got sped up ~150x using multi-core parallel computing techniques in a Docker environment.

Western Asset is a fixed income asset manager. We recently replaced the portfolio risk aggregation process with a Julia implementation, and the run-time performance has improved tremendously. This talk will focus on system architecture, performance optimization, and deployment to a Docker swarm environment.