Société Générale boosts risk management with Linux switch

Société Générale boosts risk management with Linux switch

French bank Société Générale is reporting significant performance improvements on credit risk calculations after moving to a Linux-based Grid solution from incumbent vendor Algorithmics.

Pierre Gaye, deputy head of capital markets in the risk division at Société Générale. describes the benefits of running Algorithmics on Linux as "tremendous" as the bank reaps the time savings from spreading simulations across multiple CPUs on multiple machines.

"In addition to the improved performance and scalability, we have experienced reduced hardware, services and implementation costs," states Gaye.

Société Générale is now simulating approximately half of the financial instruments within its credit exposure book on a grid of HP Proliant DL360 G4s with dual Intel Xeon 3.6GHz processors.

The bank is already claiming a 33% performance improvement, which is expected to increase further when it moves the remaining credit exposure simulations to Linux over the coming months.

Société Générale is using the time savings to calculate more accurate credit exposures within the overnight batch window by adding more scenarios to the simulation, says Gaye.

The SG implementation update is one of a slew of announcements emerging from Alorithmics' 2005 risk conference in London. Other news includes:

  • Northern Trust Corporation of Chicago, Illinois, has gone "live" with stochastic credit exposure measurement for its trading portfolios across its foreign exchange operations in London, Chicago and Singapore;
  • emerging US hedge fund Plainfield Asset Management has signed for the Algo Risk package. Algorithmics claims to have secured over 17 buy-side clients for the software since its launch in 2004; and
  • plans to introduce round-the-clock post-implementation support for all clients by the end of the year.

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