Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
نویسندگان
چکیده
منابع مشابه
Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
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 Mont...
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ژورنال
عنوان ژورنال: Risks
سال: 2016
ISSN: 2227-9091
DOI: 10.3390/risks4040036