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
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;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2007. WiCom 2007. International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-1311-9
DOI :
10.1109/WICOM.2007.1519
