Cray T3E Performances of a Parallel Code for a Stochastic Dynamic Assets and Liabilities Management Model⋆

A parallel Asset & Liability Management (ALM) code was developed by SMART and Prometeia Calcolo for the EC project PALMA (Parallel Asset and Liability MAnagement). The code implements a stochastic approach based on a dynamic ALM model specially tailored for the Italian financial market. This paper reports the performances obtained on the Cray T3E at CINECA, running the code on real data provided by Credito Italiano. Very good scalability and efficiency have been achieved. Anyway the code is easily portable on other, possibly heterogeneous, high performance computing platforms.