Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/7805
Title: Multithreading for high performance finance risk analysis
Authors: Wei, Wenqian
Advisors: Li, M
Zhao, Y
Liu, Z
Keywords: Concurrent computing;Parellel computing;Monte Carlo modelling;Value at risk;Buhlmann credibility
Issue Date: 2013
Publisher: Brunel University School of Engineering and Design PhD Theses
Abstract: With the increasing of risks in the financial market, the models of risk management are developing quickly. The standard of the accuracy and effect of the models is improved continuously. This thesis investigates Value at Risk (VaR) which is an important method for measuring the market risk. It reviews the three methods which can be used to quantify VaR. These methods are parameter method, historical data processing method and Monte Carlo simulation method. Monte Carlo simulation has been widely employed for finance risk analysis. One challenge in Monte Carlo simulation is its computation complexity. For this purpose, this thesis researches into multithreading technique for high performance.
Description: This thesis was submitted for the degree of Master of Philosophy and awarded by Brunel University
URI: http://bura.brunel.ac.uk/handle/2438/7805
Appears in Collections:Electronic and Computer Engineering
Dept of Electronic and Computer Engineering Theses

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