There is currently something of a big data revolution taking place as processing speeds increase and hardware costs decrease. Many banks already perform pre-trade data runs, generating millions of scenarios when performing Monte Carlo simulations to calculate CVA.

4Sight Financial Software has published a new whitepaper on collateral optimisation. This paper looks at whether big data scenario analysis can be applied to collateral optimisation. It also evaluates the techniques that firms can employ to perform portfolio wide optimisation runs. It's entitled ‘Is Collateral Optimisation a Big Data Problem?’, and looks at whether big data scenario analysis can be applied to collateral optimisation. It also evaluates the techniques that firms can employ to perform portfolio wide optimisation runs.

“Collateral optimisation continues to be one of the key buzzwords among financial market participants in 2015. With further rules coming in from 2015, efficient use of collateral should remain a key focus for financial firms over the next few years.”

Martin Seagroatt, Marketing Director of 4Sight, and author of the paper

To access the whitepaper, follow this link.