Case Study: Brazilian Development Bank achieves 10x faster asset and liabilities modeling with Julia Computing

Brazilian Development Bank - Customer Case Study

The Brazilian Development Bank (BNDES), one of the world’s largest development banks, needed to solve a multistage stochastic optimization problem for asset and liabilities modeling. Working with Julia Computing, the bank looked for a faster way to optimize allocation, funding, and hedge decisions under complex business, political, and market constraints.

Julia Computing helped BNDES implement the model in Julia, using JuMP for mathematical optimization and Julia’s performance advantages for simulation and financial calculations. The result was a significant boost in productivity and a speed improvement of more than 10x, with BNDES noting immediate performance gains and potential for even greater scalability through Julia’s native parallelism.

Brazilian Development Bank