Riskfuel is partnering with BMO to accelerate valuation and risk management of their structured derivatives transactions. This announcement follows the successful completion of a pilot project to speed up valuation of autocallable notes whose long execution times using traditional valuation methodologies presented significant runtime challenges.
With ultra-fast valuations, traders at BMO can now test the impact of different market scenarios on its derivatives portfolios so that they can hedge the risk effectively. They can test ‘what-if’ scenarios with potential trades, and during a volatile market, they can prepare their strategy in advance for market swings in one direction or another. Additionally, the high performance Riskfuel models deliver accurate results with much lower cloud compute costs when compared with traditional numerical simulations.
About BMO Financial Group
Serving customers for 200 years and counting, BMO is a highly diversified financial services provider – the 8th largest bank, by assets, in North America. With total assets of $971 billion as of July 31, 2021, and a team of diverse and highly engaged employees, BMO provides a broad range of personal and commercial banking, wealth management and investment banking products and services to more than 12 million customers and conducts business through three operating groups: Personal and Commercial Banking, BMO Wealth Management and BMO Capital Markets.