出版社：SISSA, Scuola Internazionale Superiore di Studi Avanzati
摘要：We present a market and counterparty risk calculation system that has been developed
for one of the biggest Spanish banks. This system calculates VaR and credit exposures
using Monte Carlo simulation. For a bank of this size, the number of portfolios and
traded securities involved is so high that calculation time becomes a major concern. We
describe the solution that has been adopted, using a commercial grid platform to reduce
total calculation time and increase the performance of the system. With the adopted
strategy, total calculation time could be reduced from several hours to a few minutes,
but it would be desirable to reduce it even further to the point where the system could
calculate in real time. The aim of this work is to outline the main problems that need to
be addressed in terms of parallelisation, concurrent data access and network capacity in
order to increase the throughput of the risk platform to reach the desired performance.
We hope that it could be a valuable input for the academic community working on this
field.
