To properly manage pension funds, ING Insurance Benelux ran Monte Carlo simulations on standalone PCs. The company wished to speed up the process so that risk managers could run many more simulations, giving them increased accuracy and greater confidence. It worked with Bitbrains IT Services to deploy a cloud-based solution that uses the Windows HPC Server 2008 R2 operating system and the HPC Excel Acceleration Toolkit from Grid Dynamics.
Many financial institutions have faced considerable challenges due to the economic crisis. Pension fund reserves have been hit hard, and many pension funds suffered losses when coverage ratios fell. ING Insurance Benelux, a part of financial leader ING that handles life and non-life insurance, investment, and pension businesses in the Netherlands, Belgium, and Luxembourg, has managed to keep reserves well above requirements. “However, pressure is extremely high for us to safeguard the individual futures of our customers and to show that we’re running consistent, controlled processes,” says Hein Brat, Program Manager, Business Unit Corporate Clients, at ING Insurance Benelux.
To ensure that the company keeps adequate pension fund reserves, the ING Insurance Benelux risk department relies on a liability calculator to determine what kind of hedging measures the company needs to take. The calculator, developed in-house by using the Microsoft Visual Basic development system, uses Microsoft Excel 2010 spreadsheet software to run Monte Carlo simulations, which involve using random numbers and probability to solve problems. “The calculator is critical because we’re dealing with huge sums of money and a lot of risk,” says Brat.
Although the calculator worked well, it took risk managers a full day to get a single set of results—based on 1,000 simulations—because they were limited to the processing power of standalone PCs. Solution
ING Insurance Benelux needed a faster way to process simulations, so it talked with one of its partners, Bitbrains IT Services. Bitbrains IT Services teamed up with Grid Dynamics, a Microsoft partner that delivers scalable application infrastructure solutions. Their proposed solution involved deploying a private cloud running on the Windows HPC Server 2008 R2 operating system and hosted by Bitbrains, which already hosted solutions for other areas of ING.
||Company decision makers were so impressed that they asked our risk managers to recalculate every simulation that they had run over the previous year—in just two weeks.
Program Manager, Business Unit Corporate Clients, ING Insurance Benelux
In June 2010, ING Insurance Benelux, Bitbrains, and Grid Dynamics worked jointly to transform the calculator into a 24-core Windows HPC Server 2008 R2 environment. The solution used the Grid Dynamics HPC Excel Acceleration Toolkit (HEAT), which makes it possible to convert complex Excel spreadsheets to run in a distributed, Windows HPC Server 2008 environment.
Although the solution demonstrated remarkable calculation speeds, ING Insurance Benelux risk managers were skeptical that the converted calculator could generate the same results as the original standalone solution, so they decided to run a side-by-side test. “We’d modified the calculator to adapt it to the parallel framework, and our risk managers wanted to ensure that its formulas remained intact,” recalls Brat. “The comparative test results were identical, just a whole lot faster in the Windows HPC Server 2008 R2 environment. Our risk managers are hard to impress, but they’ve been really pleased with how well the cluster solution works and how easy it is to use.”
And they weren’t the only ones who were pleased. “Company decision makers were so impressed that they asked our risk managers to recalculate every simulation that they had run over the previous year—in just two weeks in November,” says Brat. The risk managers immediately requested additional capacity, so Bitbrains scaled up the cluster, adding 72 more cores overnight. Not only did the risk managers meet their deadline, but they also conducted a higher number of simulations, thereby fine-tuning the accuracy of the year’s results.
Bitbrains IT Services continues to manage the cluster, using HPC Cluster Manager and node-provisioning features to add and remove nodes from its 96-core cluster, as needed. “We plan to take further advantage of the computing power in Windows HPC Server 2008 R2 with more applications,” says Brat.Benefits
The new version of the liability calculator can run many simulations more quickly that the previous version, which gives the company the ability to get a much better financial picture and the ability to make smarter decisions. “Our risk managers are exceeding everyone’s expectations about how quickly they can produce extremely precise results,” says Brat. Benefits include:
Faster, more scalable processing. Risk managers at ING Insurance Benelux no longer need an entire day to run simulations. “Today, our risk managers can get results in about an hour,” says Brat. “They’re enthusiastic about working with the latest technology and the incredible impact of going 100 times faster than in the past.”
Greater accuracy. Because the ING Insurance Benelux calculator runs on Windows HPC Server 2008 R2, risk managers can conduct 30,000 simulations a day to generate results—a significant jump from the 1,000 simulations that they could run in the past. “Testing numerous scenarios gives us more precise results and enhanced insight as to where to put capital,” explains Brat.
Improved control. With the move to the cluster, ING Insurance Benelux gained access to a detailed audit trail and tighter control over its processes, thanks to both the built-in tracking capabilities in Windows HPC Server 2008 R2 and the unified procedure that risk managers now follow. “Dutch banks are heavily scrutinized, and using the Windows HPC Server 2008 R2 cluster makes it easy for us to regularly show that what we do is consistent, accurate, and traceable,” says Brat.
More strategic use of financial resources. ING Insurance Benelux will use the new calculator in future risk frameworks to reserve less internal insurance to cover its funds. “We can then keep less capital on hand because we have a greater degree of confidence in the accuracy of our results,” says Brat. “That means that we can do more with our money, making smarter investments for our customers and taking even better care of their pension funds.”
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