In the highly competitive financial services industry, accurately predicting risk profiles is key. But analytics applications used to determine risk are typically large and compute-intensive, requiring a powerful technology stack that incudes parallel processing and compute accelerators. Open source technology can be a viable solution, delivering more flexibility, adaptability, and cost savings.
The algorithms used in market risk analysis are typically partial differential equations that cannot be solved exactly, thus requiring approximation techniques. A popular approach is the Monte Carlo method, which runs a large number of randomized simulations. The quality of each simulation depends on the accuracy of each calculation and the number of simulations run – more simulations with greater accuracy produces better results, at the cost of requiring more time or more compute resources. Benchmark tests can help banks measure the performance, scaling, quality, and resource efficiency of any technology stack and find out whether it is able to handle the workload.
In tests conducted in October 2017, using performance benchmarks from the Securities Technology Analysis Center (STAC), an open-source technology system from Red Hat and several partners set several new records. STAC offers technology research and testing tools for measuring system performance on financial workloads, helping organizations in their decision-making and implementation process. The STAC benchmarks, which focus specifically on financial applications, use mathematical operations including floating point computation, square roots, exponential and logarithmic calculations. Various tests measure the time to complete a test or the number of test cases that can be completed in a given time, providing insight into the technical computing power of a system and a direct comparison between systems at the application level.
As our colleague Russell Doty outlined in his recent blog post, the system developed by Red Hat, NVIDIA and HPE ran the STAC-A2 benchmark on risk analytics. The tests were run on an HPE ProLiant XL270d Gen9 server running Red Hat Enterprise Linux 7.4 with 8 x NVIDIA Tesla V100 (Volta) GPUs.
The benchmark highlighted several things:
- The latest generation of NVIDIA GPUs, the Volta V100, running with Red Hat Enterprise Linux on an HPE ProLiant server.
- Multiple GPUs on a single system – 8 in this benchmark – applied to a single problem.
- Applications using the NVIDIA CUDA 9 ecosystem with Red Hat Enterprise Linux.
- Performance leadership achieved through a joint effort by NVIDIA, HPE, and Red Hat.
- The combination of the enterprise stability and robustness of Red Hat Enterprise Linux with the latest technologies from NVIDIA and HPE.
Here’s a summary of the record-setting results achieved by the HPE, NVIDIA and Red Hat system:
- Compared to all other publicly reported results as of October 2017, this solution set new records in multiple performance benchmarks as well as the energy efficiency benchmark.
- Compared to all publicly reported results as of October 2017 on non-NVIDIA based architectures, this solution was:
- 9x the next best throughput (STAC-A2.β2.HPORTFOLIO.SPEED)
- 2x the next best time in warm runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM).
- 7x the next best energy efficiency (STAC-A2.β2.HPORTFOLIO.ENERG_EFF)
- 9x the maximum basket size (STAC-A2.β2.GREEKS.MAX_ASSETS)
- 5x better space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
- Compared to the best performing solution as of October 2017 using 4 previous-generation NVIDIA Tesla P100 GPUs, this solution with 8 NVIDIA Volta V100 GPUs in an HPE server was:
- 7x the next best throughput (STAC-A2.β2.HPORTFOLIO.SPEED)
- 4x the next best time in warm runs of the baseline Greeks benchmark (STAC-A2.β2.GREEKS.TIME.WARM).
- 5x the maximum basket size (STAC-A2.β2.GREEKS.MAX_ASSETS)
- 2x the next best space efficiency (STAC-A2.β2.HPORTFOLIO.SPACE_EFF)
You can access the full benchmark results report on the STAC website. Red Hat’s portfolio of cloud-ready and cost-effective solutions is designed to help financial institutions mitigate risk solutions. Visit our pricing and risk analytics site to learn more.