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Grid Based Financial Risk Management

Grid Based Financial Risk Management. Bin Li. Risk & Risk Management. Financial Risk & Management. Value at Risk. Covariance Historical Monte Carlo. Motivation. World Reality:. Complex, data and computational intensive. Motivation. Available Solutions: Parallel Computing, Grid

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Grid Based Financial Risk Management

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  1. Grid Based Financial Risk Management Bin Li

  2. Risk & Risk Management Financial Risk & Management Value at Risk Covariance Historical Monte Carlo Motivation • World Reality: Complex, data and computational intensive

  3. Motivation • Available Solutions: • Parallel Computing, Grid • Grid Usability: • Discover the origins of the species, the universe, diseases, and for finding alien life forms • Market • Grid infrastructures in Bank of America and HSBC: 3000 to 6000 processors • Computational services market • Grid market • Core: Resource Brokering (Negotiation) • Hardware and software resource are not unlimited

  4. Background Literatures Computational Markets project (Markets for Computational Services ) http://www.lesc.ic.ac.uk/markets/ AssessGrid “AssessGrid: Economic Issues Underlying Risk Awareness in Grid” K. Voss, K. Djemame, I. Gourlay and J. Padgett, GECON'2007, Rennes, France, August 2007 “The First Step of Introducing Risk Management for Preprocessing SLAs.” Matthias Hovestadt, Odej Kao, and Kerstin Voß IEEE Computer Society. September 2006. “Planning-based Scheduling for SLA-awareness and Grid Integration” Dominic Battré, Matthias Hovestadt, Odej Kao, Axel Keller, Kerstin Voss, PlanSIG2007 “Risk-aware Migrations for Prepossessing SLAs.” Kerstin Voß, IEEE International Conference on Networking and Services (ICNS'06), p. 68, June 2006. “IBM grid business model”, Sang-Ho, L. . IEEE Grid Economics and Business Models, 2004. GECON 2004. 1st IEEE International Workshop Sun's grid model, See, S. , IEEE Grid Economics and Business Models, 2004. GECON 2004. 1st IEEE International Workshop

  5. Value at Risk (VaR)

  6. VaR Portfolio (Monte Carlo)

  7. VaR 3 methods Implementation Steps Comparison

  8. Parallel VaR Monte Carlo Task

  9. Results Analysis

  10. Future Work (following months) • NGS condor implementation investigation • Availability of computer powers around UK The implementation in different grid systems, low-latency networking and resource brokering • The VaR for Options and CDO2 implementation • Easy way to understand current credit crisis (subprime credit) • Submit a paper for the progress so far • Finished one paper accepted for Computational Finance (withdrew) • Aim for EPSRC e-Science All Hands, or another Computational Finance conference

  11. Thank you for your attention

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