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GTC ON-DEMAND

Finance
Presentation
Media
Enabling On Demand Value-At-Risk for Financial Markets
Speakers:
Jike Chong, Matthew Dixon
- UC Davis, Parasians, LLC
Abstract:
Learn how financial market risk managers can increase their ability to preempt exposure limit breaching and tighten risk control to increase investor confidence. Gain insight into the techniques for obtaining high performance Monte-Carlo based market value-at-risk (VaR) estimates over a hierarchy of risk aggregation levels. This session will focus on how the new Fermi platform can be used by financial institutions to enable on-demand estimates of the market VaR, and discuss important software architecture decisions, the benefits of the new GigaThread Engine and Parallel DataCache, as well as the guiding principles for constructing efficient algorithms on GPUs.
 
Topics:
Finance, Developer - Algorithms
Type:
Talk
Event:
GTC Silicon Valley
Year:
2010
Session ID:
S102098
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