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
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;
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
DOI :
10.1109/DCABES.2012.73
