Monte Carlo grid for financial risk management

Abstract

Due to reduced profitability, increased price competition, and strengthened regulation, financial institutions in all countries are now upgrading their financial analytics based on Monte Carlo simulation. In this article, we propose three key technologies, i.e., data protection, integrity, and deadline scheduling, which are indispensable to build a secure PC-grid for financial risk management. We constructed a PC-grid by scavenging unused CPU cycles of about 50 PCs under real office environment, and obtained the 80 times speed-up, namely, for 100,000 Monte Carlo scenarios, 95 h computation on a single server is reduced to 70 min. Finally, we discuss future research directions. © 2005 Elsevier B.V. All rights reserved.