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Rapid computation of value and risk for derivatives portfolios
Author(s) -
Weston Stephen,
Spooner James,
Racanière Sébastien,
Mencer Oskar
Publication year - 2011
Publication title -
concurrency and computation: practice and experience
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.309
H-Index - 67
eISSN - 1532-0634
pISSN - 1532-0626
DOI - 10.1002/cpe.1778
Subject(s) - computation , portfolio , valuation (finance) , computer science , value at risk , credit valuation adjustment , monte carlo method , work (physics) , credit risk , asset (computer security) , actuarial science , finance , risk management , economics , mathematics , engineering , algorithm , statistics , mechanical engineering , computer security , credit reference
SUMMARY We report new results from an on‐going project to accelerate derivatives computations. Our earlier work was focused on accelerating the valuation of credit derivatives. In this paper, we extend our work in two ways: by applying the same techniques, first, to accelerate the computation of portfolio level risk for credit derivatives and, second, to different asset classes using a different type of mathematical model, which together present challenges that are quite different to those dealt with in our earlier work. Specifically, we report acceleration over 270 times faster than a single Intel Core for a multi‐asset Monte Carlo model. We also explore the implications for risk. Copyright © 2011 John Wiley & Sons, Ltd.