高性能计算技术在金融风险管理系统中的解决方案设计  

Solution Design on the High Performance Computing in the System of Financial Risk Management

作　　者：元如林[1] 

机构地区：[1]上海金融学院,上海浦东新区201209

出　　处：《上海金融学院学报》2006年第4期23-26,共4页Journal of Shanhai Finance University

摘　　要：本文主要介绍高性能计算技术在金融风险管理系统中的应用。金融风险管理信息系统是建立在数据大集中基础上的全面统一的集中风险监控体系,是我国金融行业提高核心竞争力、应对国际竞争的必要工具。本文分析了金融风险管理信息系统的基本要求,探讨了金融风险管理系统的高性能计算解决方案,给出了用蒙特卡罗模拟法计算风险价值(Value at Risk,VaR)的分布式并行算法。In this paper, the application of high performance computing in financial risk management information system has been introduced. The financial risk management information system is a monitor of financial risks based on the data centralization. It is the necessary tool of improving the kernel of competition power and tackling international competition for finance industry. This paper analyzes the basic demand of financial risk management information system, discusses solution for the high performance computing in financial risk management information system, and provides the distributed parallel algorithm to compute the value at risk （VaR） with the simulation of Monte Carlo.

关 键 词：高性能计算技术 金融风险管理 信息系统 

分 类 号：F830.49[经济管理—金融学]