Details

Autor(en) / Beteiligte

• Zanghirati, G.
• Cocco, F.
• Paruolo, G.
• Taddei, F.

Titel

A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model

Ist Teil von

• Parallel computing, 2000, Vol.26 (5), p.539-567

Ort / Verlag

Elsevier B.V

Erscheinungsjahr

2000

Quelle

Access via ScienceDirect (Elsevier)

Beschreibungen/Notizen

• Asset and liability management (ALM) models represent an important tool for banks and finance companies to measure the volatility of expected revenues. These models – usually static and deterministic to fit conventional computer resources – may be much more useful if a dynamic stochastic simulation is adopted. This makes it possible to increase the precision of risk estimation. In this paper the parallelization strategy adopted to implement such a stochastic ALM code is described, together with porting and code performance issues. The very good timings obtained on a 128-proc Cray T3E are reported. Anyway the code is easily portable on other, possibly heterogeneous, high-performance computing platforms.