VaR and CVaR Estimate Based on Distributed Parallel Algorithm

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.