For the first time, the trifecta of CCAR, “free” Floating Point arithmetic, and parallel Numerical Optimization makes it feasible to automate the Firm capital allocation plan implementation at the Accrual Portfolio security level. Embedding this optimization computation in a control loop allows feedback to come from anywhere in the capital allocation process, from regional branches exceeding, missing, or delaying their new business quotas to market shocks such as CNY devaluation or the Swiss Central Bank abandoning the EUR peg.
All large U.S. Banks have been running CCAR development and U.S. Federal Reserve reporting programs in the past several years. These CCAR projects are cleaning up the centralized global balance sheet data (positions, indicatives, market data) inside the banks so that the worst-case liquidity scenarios reported periodically to the Fed make sense. The novel idea presented in this note is to make CCAR sunk costs produce operational efficiency and more revenue in banks with large balance sheets using NIMo. We propose simulating the Firm’s full Balance Sheet, in the expected case rather than the worst case, to direct automated global capital allocation implementation.
“Free” Floating Point has been the label recently applied to contemporary commodity processor codes executing dozens of floating-point instructions per core every clock, on average. Typically you need vector code issued from your compiler to get the “free” FLOPS. Historically, this has only been sporadically accomplished in Wall Street shops. This fact is not lost on Intel with their new Code Modernization effort. …
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