6 search results - page 1 / 2 » Credit Risk Modelling using Hardware Accelerated Monte-Carlo... |
FCCM
2008
IEEE
13 years 10 months ago
2008
IEEE
The recent turmoil in global credit markets has demonstrated the need for advanced modelling of credit risk, which can take into account the effects of changing economic condition...
FPL
2008
Springer
13 years 5 months ago
2008
Springer
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
ASAP
2007
IEEE
13 years 8 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...
WSC
2004
13 years 5 months ago
2004
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
ENGL
2008
13 years 4 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...