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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Vydané v:	Concurrency and computation Ročník 24; číslo 8; s. 895 - 907
Hlavní autori:	Dixon, M. F., Chong, J., Keutzer, K.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Chichester, UK John Wiley & Sons, Ltd 10.06.2012
Predmet:	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
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