Application of High Performance Computing Methods to the Large-Scale Portfolio Simulation for Asset Liability Management

Asset Liability Management (ALM) in the next generation should maximize profits within this limitation. To avoid potential failures of the current ALM process, the following must be achieved: 1) realistic accounting by each transaction, 2) market rates and corporate credit rating scenario paths proceed with time, 3) evaluation along each scenario for at least several years at daily resolution. Such calculations require large-scale simulations which have not been realistic so far, because they are computationally expensive.