DocumentCode
2580781
Title
VaR and CVaR Estimate Based on Distributed Parallel Algorithm
Author
Fu Shu-huan ; Cao Jia-he
Author_Institution
Bus. Sch., Hohai Univ., Nanjing, China
fYear
2012
fDate
19-22 Oct. 2012
Firstpage
241
Lastpage
242
Abstract
CVaR has more advantages, than the VaR as portfolio risk measurement tool, but with the calculation of VaR, the Monte Carlo simulation method of the CVaR is difficult, and the cost is high. The establishment of the system of distributed parallel algorithm can reduce costs and speed up the calculation, which is conducive to the promotion of the CVaR Monte Carlo algorithm.
Keywords
Monte Carlo methods; cost reduction; investment; parallel algorithms; risk analysis; CVaR Monte Carlo algorithm; CVaR estimation; Monte Carlo simulation method; VaR estimation; cost reduction; credit value at risk; distributed parallel algorithm; distributed parallel computing; portfolio risk measurement tool; Computational modeling; Educational institutions; Monte Carlo methods; Parallel algorithms; Portfolios; Reactive power; Distributed Parallel Algorithm; VaR; the CVaR;
fLanguage
English
Publisher
ieee
Conference_Titel
Distributed Computing and Applications to Business, Engineering & Science (DCABES), 2012 11th International Symposium on
Conference_Location
Guilin
Print_ISBN
978-1-4673-2630-8
Type
conf
DOI
10.1109/DCABES.2012.73
Filename
6385280
Link To Document