Accelerating Value-at-Risk estimation on highly parallel architectures

SUMMARY Values of portfolios in modern financial markets may change precipitously with changing market conditions. The utility of financial risk management tools is dependent on whether they can estimate Value‐at‐Risk (VaR) of portfolios on‐demand when key decisions need to be made. However, VaR est...

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Bibliographic Details
Published in:	Concurrency and computation Vol. 24; no. 8; pp. 895 - 907
Main Authors:	Dixon, M. F., Chong, J., Keutzer, K.
Format:	Journal Article
Language:	English
Published:	Chichester, UK John Wiley & Sons, Ltd 10.06.2012
Subjects:	D.1.3 concurrent programming [parallel programming] G.3 probability and statistics [probabilistic algorithms (including Monte Carlo)] J.4 social and behavioral sciences [economics]
ISSN:	1532-0626, 1532-0634
Online Access:	Get full text
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