Physical Sciences and Mathematics Commons^™

Acceleration Of Monte Carlo Value At Risk Estimation Using Graphics Processing Unit (Gpu), Wei Wu

Dissertations and Theses

"Value at Risk (VaR) is one of the most popular tools used to estimate the exposure to market risks, and it measures the worst expected loss at a given confidence level. Monte Carlo simulation is one of the best methods to calculate VaR and it is widely used in financial industry. Unfortunately, it is time consuming especially when the simulated samples and the number of assets in a portfolio are very large. The graphics processing unit (GPU) is a specialized multiprocessor which has highly parallel structure supporting more effective than general-purpose CPUs for a range of complex algorithms. In this …