2016
DOI: 10.3390/risks4040036
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Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency

Abstract: Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed portfolio risk metrics value-at-risk (VaR) and conditional value-at-risk (cVaR) by means of nested Monte Carlo (MC) simulations. We do so by combining theory and software/hardware implementation. This allows us for the fi… Show more

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Cited by 4 publications
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“…Classical simulations of large portfolios are a big computation problem which requires significant time and hardware resources [33][34][35]. To reduce classical simulation times, approximations are used and similar assets are aggregated in batches described by more complex random distributions.…”
Section: Scaling To Real World Problemmentioning
confidence: 99%
“…Classical simulations of large portfolios are a big computation problem which requires significant time and hardware resources [33][34][35]. To reduce classical simulation times, approximations are used and similar assets are aggregated in batches described by more complex random distributions.…”
Section: Scaling To Real World Problemmentioning
confidence: 99%