| 基于两层m/w模型机群的信用风险VaR实时评估系统 |
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| 引用本文： | 兰蓉,王凯.基于两层m/w模型机群的信用风险VaR实时评估系统[J].科技管理研究,2010,30(19). |
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| 作者姓名： | 兰蓉 王凯 |
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| 作者单位： | 1. 西安交通大学经济与金融学院,陕西西安,710061
2. 国家开发银行江苏省分行,江苏南京,210024 |
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| 基金项目： | 教育部哲学社会科学后期资助项目"计算金融探索与实践" |
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| 摘 要： | 结合金融机构层次组织结构,采用两层主从(m/w)计算模型机群系统,通过简化问题复杂性,建立银行信用风险CreditMetrics框架下VaR实时评估系统.同时,分析信用风险Monte Carlo仿真计算过程,给出减少串行计算成份,提高系统并行性的措施.通过具体实验,表明该优化算法能够明显提高系统加速效果.
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| 关 键 词： | 信用风险 主从(m/w)计算机群系统 Monte Carlo仿真 |
Credit Risk VaR Real-Time Evaluating System Based on Two Level Master-Worker Clusters |
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| LAN Rong,WANG Kai.Credit Risk VaR Real-Time Evaluating System Based on Two Level Master-Worker Clusters[J].Science and Technology Management Research,2010,30(19). |
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| Authors: | LAN Rong WANG Kai |
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| Abstract: | Combining with the hierarchal organization,a credit risk value at risk ( VaR) real-time evaluating system based on CreditMetrics framework is designed by using two level master/ worker computing clusters. Meanwhile,the Monte Carlo simulation algorithm for the CreditMetrics framework VaR computing is analyzed. And a strategy to reduce the serial part of algorithm is put forward. Experience shows that it can improve speedup effectively. |
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| Keywords: | CreditMetrics VaR |
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