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VaR and CVaR Estimate Based on Distributed Parallel Algorithm

机译:基于分布式并行算法的VaR和CVaR估计

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摘要

CVaR has more advantages, than the VaR as portfolio risk measurement tool, but with the calculation of VaR, the Monte Carlo simulation method of the CVaR is difficult, and the cost is high. The establishment of the system of distributed parallel algorithm can reduce costs and speed up the calculation, which is conducive to the promotion of the CVaR Monte Carlo algorithm.
机译:与VaR作为投资组合风险度量工具相比,CVaR具有更多的优势,但是随着VaR的计算,CVaR的蒙特卡罗模拟方法很困难,并且成本很高。建立分布式并行算法系统可以降低成本,加快计算速度,有利于推广CVaR蒙特卡洛算法。

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