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Parallel Computation of Value at Risk Using Delta-Gamma Monte Carlo Approach
Company: Proceedings of the International MultiConference of Engineers and Computer Scientists 2014 Vol II
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: March
Resource Link: Click here to open
Pages: 4
Download Count: 0
View Count: 1904
Comment Num: 0
Language: English
Source: conference proceedings
Who Can Read: Free
Date: 4-13-2014
Publisher: Administrator
Summary
In this work, we have developed a multi-threaded program on shared-memory multi-processor systems that calculates the VaR of large portfolios. We follow the delta-gamma Monte Carlo approach. To replace the matrix-matrix multiplications in the gamma term by matrix-vector multiplications we diagonalised the gamma term and represented it by the productions of its eigenvectors and eigenvalues. We used Intel’s MKL functions for the operations on the matrices and vectors. Joe and Kuo’s pre-computed direction numbers were fed into MKL’s random number generator to generate Sobol’ quasi-random sequence. The simulation stage was parallelised by creating POSIX threads and assigning each created thread an equal number of the trial paths. The program was tested by a portfolio of 4000 assets. The parallel simulation ran more than 4 times as fast as the simulation parallelised by MKL’s vectorised automatic multi-threading functions.
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Author(s)
Zhang, Nan Sign in to follow this author
Man, Ka Lok Sign in to follow this author
Lim, Eng Gee Sign in to follow this author
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