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.

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

ZANGHIRATI, Gaetano;
2000

Abstract

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.
Zanghirati, Gaetano; Cocco, F; Paruolo, G; Taddei, F.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11392/1211200
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