DocumentCode
3513730
Title
Credit Risk VaR Real-Time Evaluating System Based-on Two Level Master-Worker Cluster
Author
Lan Rong ; Wang Kai
Author_Institution
Sch. of Econ. & Finance, Xi´an Jiaotong Univ., Xi´an
fYear
2007
fDate
21-25 Sept. 2007
Firstpage
6195
Lastpage
6198
Abstract
Combining with the hierarchal organization, a credit risk value at risk (VaR) real-time evaluating system that is based on CreditMetrics framework is designed using two level master/worker PC clusters. Meanwhile, the Monte Carlo simulation algorithm for the CreditMetrics framework VaR computing is analyzed; a strategy to reduce the serial part of algorithm is put forward. Experiments show that it can improve speedup effectively.
Keywords
Monte Carlo methods; credit transactions; real-time systems; risk management; workstation clusters; CreditMetrics; Monte Carlo simulation; credit risk; master/worker PC clusters; real-time evaluating system; value at risk; Algorithm design and analysis; Clustering algorithms; Finance; Forward contracts; Portfolios; Reactive power; Real time systems; Resource management; Risk analysis; Risk management;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4244-1311-9
Type
conf
DOI
10.1109/WICOM.2007.1519
Filename
4341294
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