Acceleration of multi-factor Merton model Monte Carlo simulation via Importance Sampling and GPU parallelization

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27240%2F16%3A86098980" target="_blank" >RIV/61989100:27240/16:86098980 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27740/16:86098980
Result on the web
<a href="http://dx.doi.org/10.1201/b21348-19" target="_blank" >http://dx.doi.org/10.1201/b21348-19</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1201/b21348-19" target="_blank" >10.1201/b21348-19</a>

Result language
angličtina
Original language name
Acceleration of multi-factor Merton model Monte Carlo simulation via Importance Sampling and GPU parallelization
Original language description
Credit risk refers to the risk of losses due to unexpected credit events, as a default of a counterparty. The modelling and controlling of credit risk is a very important topic within banks. Very popular and frequently used tools for modelling credit risk are multi-factor Merton models. Practical implementation of these models requires time-consuming Monte Carlo (MC) simulations, which significantly limits their usability in daily credit risk calculation. In this paper we present acceleration techniques of Merton model Monte Carlo simulations, concretely parallel GPU implementation and Importance Sampling (IS) employment. As the importance sampling distribution we choose the Gaussian mixture model and for calculating the IS shifted probability distribution we use the Cross-Entropy (CE) method. The speed-up results are demonstrated using portfolio Value at Risk (VaR) and Expected Shortfall (ES) calculation.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Applied Mathematics in Engineering and Reliability : proceedings of the 1st International Conference on Applied Mathematics in Engineering and Reliability : Ho Chi Minh City, Vietnam, 4-6 May 2016
ISBN
978-1-138-02928-6
ISSN
—
e-ISSN
—
Number of pages
12
Pages from-to
107-118
Publisher name
CRC PRESS-TAYLOR & FRANCIS GROUP
Place of publication
London
Event location
Ho Či Minovo Město
Event date
May 4, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000387432400015

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