Matches in SemOpenAlex for { <https://semopenalex.org/work/W7446725> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W7446725 endingPage "335" @default.
- W7446725 startingPage "323" @default.
- W7446725 abstract "This chapter presents a graphics processing units (GPU) algorithm to perform a Monte Carlo simulation of a portfolio of credit risk exposures. It also explores Multiple design paths with discussion around the relative costs and benefits. The kernel implementation itself is described in detail, identifying and improving several areas of optimization to maximize the performance for demanding problem sizes. A Monte Carlo simulation approach is adopted to generate a portfolio-specific loss distribution. These Monte Carlo simulations are very computationally expensive owing to the slow convergence properties of the tails of the loss distribution. This chapter demonstrates the Monte Carlo simulation using a single period, single-factor, default/non-default model. The portfolio's assets are each described in terms of—probability-of-default (PD); loss-given-default (LGD); exposure at default (EAD). The PD is a measure of the default risk within a certain horizon, typically one year. The dynamics of the portfolio are determined by the default correlation structure, which can be defined in two different ways; either by constructing a correlation matrix or by using a factor model. A core feature of the Monte Carlo simulation is the random number generator. The arrangement of the assets within the portfolio can be optimized in order to minimize the probability of memory transactions across all warps. The solution is achieved by ordering the assets in ascending order by PD because the probability of all the assets not defaulting is heavily limited by the riskiest asset within a warp. This optimization benefits portfolios composed of a high proportion of low PD assets." @default.
- W7446725 created "2016-06-24" @default.
- W7446725 creator A5039425584 @default.
- W7446725 creator A5047181045 @default.
- W7446725 date "2012-01-01" @default.
- W7446725 modified "2023-10-18" @default.
- W7446725 title "Large-Scale Credit Risk Loss Simulation" @default.
- W7446725 cites W1971362449 @default.
- W7446725 cites W1979081194 @default.
- W7446725 cites W2037231736 @default.
- W7446725 cites W2110930696 @default.
- W7446725 cites W2142857718 @default.
- W7446725 doi "https://doi.org/10.1016/b978-0-12-385963-1.00024-1" @default.
- W7446725 hasPublicationYear "2012" @default.
- W7446725 type Work @default.
- W7446725 sameAs 7446725 @default.
- W7446725 citedByCount "1" @default.
- W7446725 countsByYear W74467252021 @default.
- W7446725 crossrefType "book-chapter" @default.
- W7446725 hasAuthorship W7446725A5039425584 @default.
- W7446725 hasAuthorship W7446725A5047181045 @default.
- W7446725 hasConcept C10138342 @default.
- W7446725 hasConcept C105795698 @default.
- W7446725 hasConcept C126255220 @default.
- W7446725 hasConcept C149782125 @default.
- W7446725 hasConcept C162324750 @default.
- W7446725 hasConcept C178350159 @default.
- W7446725 hasConcept C19499675 @default.
- W7446725 hasConcept C202655437 @default.
- W7446725 hasConcept C2779806880 @default.
- W7446725 hasConcept C2780821815 @default.
- W7446725 hasConcept C33923547 @default.
- W7446725 hasConcept C41008148 @default.
- W7446725 hasConcept C62644790 @default.
- W7446725 hasConcept C69637215 @default.
- W7446725 hasConceptScore W7446725C10138342 @default.
- W7446725 hasConceptScore W7446725C105795698 @default.
- W7446725 hasConceptScore W7446725C126255220 @default.
- W7446725 hasConceptScore W7446725C149782125 @default.
- W7446725 hasConceptScore W7446725C162324750 @default.
- W7446725 hasConceptScore W7446725C178350159 @default.
- W7446725 hasConceptScore W7446725C19499675 @default.
- W7446725 hasConceptScore W7446725C202655437 @default.
- W7446725 hasConceptScore W7446725C2779806880 @default.
- W7446725 hasConceptScore W7446725C2780821815 @default.
- W7446725 hasConceptScore W7446725C33923547 @default.
- W7446725 hasConceptScore W7446725C41008148 @default.
- W7446725 hasConceptScore W7446725C62644790 @default.
- W7446725 hasConceptScore W7446725C69637215 @default.
- W7446725 hasLocation W74467251 @default.
- W7446725 hasOpenAccess W7446725 @default.
- W7446725 hasPrimaryLocation W74467251 @default.
- W7446725 hasRelatedWork W2160994917 @default.
- W7446725 hasRelatedWork W2168574366 @default.
- W7446725 hasRelatedWork W2182090269 @default.
- W7446725 hasRelatedWork W2584336828 @default.
- W7446725 hasRelatedWork W3123170093 @default.
- W7446725 hasRelatedWork W3123630659 @default.
- W7446725 hasRelatedWork W3123683619 @default.
- W7446725 hasRelatedWork W3150251131 @default.
- W7446725 hasRelatedWork W4285305583 @default.
- W7446725 hasRelatedWork W7446725 @default.
- W7446725 isParatext "false" @default.
- W7446725 isRetracted "false" @default.
- W7446725 magId "7446725" @default.
- W7446725 workType "book-chapter" @default.