Full revaluation of a portfolio based on Monte Carlo simulation can be very burdensome from the computational point of view. In this paper we develop a full revaluation of a middle-size Italian Bank portfolio for Value at Risk (VaR) computation on Avanade Grid Architecture (AGA.NET) addressing performance and trustworthiness issues. Moreover, we compare the grid implementation with the delta-gamma approximation based on the Fast Fourier algorithm.
Grid based full portfolio revaluation for VaR computation
MARENA, Marina;
2006-01-01
Abstract
Full revaluation of a portfolio based on Monte Carlo simulation can be very burdensome from the computational point of view. In this paper we develop a full revaluation of a middle-size Italian Bank portfolio for Value at Risk (VaR) computation on Avanade Grid Architecture (AGA.NET) addressing performance and trustworthiness issues. Moreover, we compare the grid implementation with the delta-gamma approximation based on the Fast Fourier algorithm.
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