Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

International audienceFinancial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.Premia;Mpi;Nsp

The Lens of the Lab: Design Challenges in Scientific Software

Playful and gameful design could improve the quality of scientific software. However, literature about gamification methods for that particular type of software is presently scarce. As an effort to fill that gap, this paper introduces a set of design challenges and opportunities that should be informative to professionals approaching the area. This research is based on literature review on scientific software development, also contemplating material on the gamification of science, software, and work. From the gathered information, we identify, map, and discuss key aspects of development and use of professional scientific software. Those findings are, then, formatted as a Design Lens—a set of questions designers should ask themselves to gain insight, from a particular perspective, on their work. We propose the Lens of the Lab as a design lens to support designers working in collaboration with scientists and software engineers in professional scientific software initiatives

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.

El papel del gobierno en los mercados de planes de pensiones

The western world deals with a continuous trend of aging, low fertility, and debt crisis that pushes the governments toward funded-capitalized pension schemes (Holzmann & Hinz, 2005; Feldstein, 2005). A common trend is for public pension benefits to decline. Moreover, systemic reforms have changed the nature of pension provisions to shift more risks toward the pension earners. The privatization of pension plans world-wide and the global process toward appearance of more defined contribution plans raise important questions and thoughts regarding the proper pension scheme (Barr & Diamond, 2009). The sharp downturn in the value of financial assets between 2007 and 2009 and the current financial crisis now arisen from the COVID-19 pandemic serve as sharp examples of how risky assets quickly lose a significant part of their value. The financial crises and continuing concerns about retirement security have generated new interest in the role of the country to provide adequate old-age benefits to its citizens. That interest is not merely reflected in vast recent literature; we are witnessing a great wave of pension withdrawals from funded-capitalized schemes toward more governmental intervention. Most of the countries experiencing the crises were the first to implement the new liberal pension schemes during the 1990s (Ebbinghaus, 2019; Altiparmakov, 2018; Grech, 2018). In the era of an increasingly aging population and declining birth-rates on the one hand and the deep financial crisis, on the other hand, this thesis contributes to the debate on the optimal implementation of modern funded pension schemes. This thesis seeks the economic equilibrium that would enable funded pension schemes to remain sustainable to provide adequate benefits in old age. The novelty of this thesis is in its risk perspective. In this research, the government and various earning cohorts have been attributed roles as actors in the pension field. After laying down the fundamentals of the modern pension theory, this thesis presents three studies that deeply examine the funded-capitalized pension schemes and their characteristics. Each chapter studies distinct dimensions of the pension schemes and all three lead to the same conclusion that it is necessary to consider various earning cohorts as distinct actors and strengthen the pension design with risk-sharing mechanisms. The mutual aim of these chapters is to identify a pension design that would enable the aged to received adequate pension benefits without placing a fiscal burden on the government. The first investigation is a theoretical study that further develops the portfolio theory of Markowitz and analyzes the financial relationship between the participant and the government. I claim that each actor in the field of pension tries to transfer risks that they cannot avoid successfully to the other actors. Therefore, this study argues that through political or fiscal pressure the pension designs converge to an equilibrium design that has risk-sharing mechanisms of bi-pathways of risks, including from the participant to the government. In this study, I point to countries that have moved through reforms toward radical privatization, mainly the Central East Europe (CEE) and Latin American countries, and demonstrated the process of convergence on to risk-sharing design. The next two chapters analyze the funded pension design, each one from a different perspective. The first chapter looks at the public as a pension actor and differentiates among the earning cohorts. Here the optimal pension design that strikes a balance between funded and unfunded pension pillars has been derived using an Over-Lapping Generation (OLG) model and simple utility function, calibrated to suit the average OECD countries. While simulating different pillars’ sizes, this study reveals a socio-economic anomaly in which low-earning cohorts absorb higher economic cost compares to the rest of the participants. This is caused by unbalances contribution rates to the funded and unfunded pension pillars. These uneven contribution rates arise from the inefficient hedging capability of the pension portfolios. Further, this research concludes that the mechanism of minimum pension guarantee is an efficient system stabilizer as it distributes the economic cost equitably among the earning cohorts. The third chapter in this part continues along the direction set in the preceding chapter, which is to explore the socio-economic anomaly among earning cohorts during the shift to a funded pension scheme. This investigation is conducted mainly via an option benefit model, modeling the financial relationships among different earning cohorts and the government. Here the financial position reveals a socio-economic anomaly caused by exposure to financial and systemic risks and lack of insurance against such risks. Here, from another perspective, I also find that the minimum pension guarantee is a rebalancing mechanism that increases the probability of a pension scheme being sustainable. Specifically, this research argues that implementing the guarantee with an intra generational, risk-sharing mechanism is the most efficient way to reduce the effect of this anomaly. Moreover, the second part of this chapter describes the convergence process toward implementing minimum pension guarantee in countries, which have capitalized their pension systems during the last three decades. These three chapters consider the risks and point toward the need to balance funded pension schemes to increase the probability of a pension system being sustainable and capable of providing adequate old-age benefits. The third part of this thesis demonstrates the influence of risk and the effect of the minimum pension guarantee from accrual pension records of the Israeli market. This study aims to empirically examine the adequacy of the future benefits of the funded pension scheme. This study investigates a large real data sample from the largest pension fund in Israel and simulates expected benefits using a pension simulator. Here I find that even with relatively high market returns, the shift of pension provision from defined benefit (DB) to defined contribution (DC) results in a significant shift of risk from capital to labor and might push elderly participants into poverty during their retirement phase. The COVID-19 pandemic crisis in 2020 demonstrates that the expected pension benefits are vulnerable to financial, career, and systemic shocks. This research demonstrates the inadequacy of benefits and suggests embracing central risk-sharing mechanisms that can be implemented without increasing governmental debt level. This thesis closely examines the role of the state as the central planner. In this research, it is assumed that one of the socio-economic roles of the state is to provide adequate benefits to its retired citizens. The state has to navigate through risks, challenges, and constraints to attain success in that role. The oft-repeated motive of this thesis is to find risk-sharing mechanisms that alleviate the risk burden on the individual and to ensure adequate benefit in old age. However, implementing such mechanisms required the government to play an active part in the pension market