The precise and significant simulation of risk scenarios is essential for rating current and future portfolios and investments in the financial and insurance sectors. Even large CPU or GPU clusters can have a workload of many hours for such tasks resulting in huge energy consumption for these simulations.
The ESR project is an interdisciplinary cooperation between partners from the sectors of asset management, financial mathematics, and hardware design. The main objective is to make current reconfigurable hardware (field programmable gate arrays, FPGAs) easily applicable for users in finance and insurance markets. In this way a reduction of energy consumption of up to 90% is achievable compared to that of CPU or GPU implementations.
The technical challenge is to keep the high flexibility that is always required because of fast changing product descriptions, models and algorithms while using efficient and therefore dedicated accelerators. During the project the consortium develops a demonstrator for the acceleration of selected algorithms that are relevant for industry. This demonstrator will form the foundation for a commercial platform.
ESR is a research project on energy-efficient simulation acceleration
for risk measurement and management
Creonic GmbH, Kaiserslautern
Federal Ministry of Education and Research and
accompanied by the German Aerospace Center (DLR)
The project consortium consists of:
- Assenagon GmbH, Munich: Asset Management
- Creonic GmbH, Kaiserslautern: Hardware design for FPGAs
- cronologic GmbH & Co KG, Frankfurt: FPGA boards and integration
- Fraunhofer-Institut für Techno- und Wirtschaftsmathematik (ITWM), Kaiserslautern
- Karlsruhe Institute of Technology (KIT): Information processing technologies
- University of Kaiserslautern: Microelectronic systems design
The project is funded by the Federal Ministry of Education and Research
and accompanied by the German Aerospace Center (DLR)