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.
2006
1st international workshop on grid technology for financial modeling and simulation
Palermo
03/02/06
PoS(GRID2006)010
Sissa
153/1
153/18
G. FUSAI; R. CHINELLI; D. DE MARTINI; G. LONGO; M. MARENA; L. MARIANO; R. CAPPUCCIO; R. SGHERRI; L. REGINI; W. CHIERICI; E. COCCIA
File in questo prodotto:
File Dimensione Formato  
138345.pdf

Accesso riservato

Tipo di file: POSTPRINT (VERSIONE FINALE DELL’AUTORE)
Dimensione 518.83 kB
Formato Adobe PDF
518.83 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/102029
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact