News Article

Credit Modeling with Supercomputing

Star-P Helps Julius Finance Solve Complex Corporate Credit Modeling Challenges

Interactive Supercomputing's Star-P software is helping Julius Finance bring new computational techniques to one of the most challenging analytical problems in institutional finance: credit modeling.

Julius Finance is a private research company that is using high performance computers (HPCs) to analyze credit derivative products. With Star-P, the firm's researchers are able to rapidly develop new algorithms to create realistic credit models from which banks, hedge funds and other financial institutions can make more accurate predictions about a portfolio's potential.

"Existing mathematical frameworks for CDO (collateralized debt obligation) valuation are far from compelling -- to put it mildly," said Peter Cotton, CEO of Julius Finance. "This is not surprising, as rigorous evaluation of credit models is prohibitively time consuming in any conventional research setup. We've turned to Star-P to reduce prototyping time and facilitate memory intensive experiments -- looking under more rocks, as it were, and finding very interesting things."

Star-P is an ideal solution for this challenge because it enables researchers to easily code algorithms and models on their desktops using popular high-level languages like MATLAB(R), Python and R, automatically transforming the programs to run on parallel HPCs. Star-P eliminates the need to re-program the applications in complex languages such as C, FORTRAN or MPI (message passing interface) to run on Julius Finance's Linux based cluster -- which otherwise requires arcane programming knowledge and months to complete.

"The computationally challenging analysis of credit factors such as spread, credit rating, foreign exchange and interest rates for a wide variety of corporate investments have made the credit derivative market a black art at best," said Ilya Mirman, vice president of marketing at Interactive Supercomputing. "Julius Finance is bringing new ideas and technology to these central problems in institutional finance."

About Julius Finance
Julius Finance is a private research company addressing difficult outstanding problems in mathematical finance. In particular, the company provides unique perspective on the relative valuation of synthetic collateralized debt obligations which until now have been priced with largely unconvincing or internally inconsistent Copula models. Julius Finance also supports academic efforts and public domain software, sponsoring an experiment in collaboration at www.financialmathematics.com. Additional information is available at www.juliusfinance.com.

About Interactive Supercomputing
Interactive Supercomputing (ISC) launched in 2004 to commercialize Star-P, an interactive parallel computing platform. With automatic parallelization and interactive execution of existing desktop technical applications, Star-P merges two previously distinct environments -- desktop computers and high performance servers -- into one. Based in Waltham, Mass., the privately held company markets Star-P for a range of biomedical, financial, and government laboratory research applications. Additional information is available at www.interactivesupercomputing.com.

Star-P is a trademark of Interactive Supercomputing Inc. All other trademarks mentioned herein are the property of their respective owners.