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Computing Value at Risk in OpenCL on the Graphics Processing Unit

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Future Information Technology - II

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 329))

Abstract

We present our work on computing the value at risk (VaR) of a large hypothetical portfolio in the OpenCL programming model on an AMD FirePro V7900 graphics processing unit (GPU). In the computation of the VaR we follow the delta-gamma Monte Carlo approach. The value change of the portfolio within a short time period is approximated by the sum of a linear delta component and a non-linear gamma component. To approximate the distribution of the value change of the portfolio we generate a large number scenarios. From each scenario a loss or gain of the portfolio is calculated by the delta-gamma approximation. All these potential losses and gains are then sorted, from which an appropriate percentile is chosen as the VaR. We implemented this algorithm in OpenCL. The details are discussed and the experimental results are reported.

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Acknowledgments

This work was supported by the Xi’an Jiaotong-Liverpool University (XJTLU) Research Development Fund under Grant 10-03-08.

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Authors and Affiliations

  1. Department of Computer Science and Software Engineering, Xi’an Jiaotong-Liverpool University, Suzhou, China

    Nan Zhang & Ka Lok Man

  2. Department of Financial Mathematics and Financial Engineering, South University of Science and Technology of China, Shenzhen, China

    Dejun Xie

Authors
  1. Nan Zhang
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  2. Ka Lok Man
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  3. Dejun Xie
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Corresponding author

Correspondence to Dejun Xie .

Editor information

Editors and Affiliations

  1. Seoul National University of Science and Technology (SeoulTech), Seoul, Korea, Republic of (South Korea)

    James J. (Jong Hyuk) Park

  2. Department of Computer Science, Georgia State University, Atlanta, Georgia, USA

    Yi Pan

  3. Digital Media Engineering, Anyang University, Anyang, Korea, Republic of (South Korea)

    Cheonshik Kim

  4. Information & Communication Technologies, Swinburne University of Technology, Melbourne, Victoria, Australia

    Yun Yang

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Zhang, N., Man, K.L., Xie, D. (2015). Computing Value at Risk in OpenCL on the Graphics Processing Unit. In: Park, J., Pan, Y., Kim, C., Yang, Y. (eds) Future Information Technology - II. Lecture Notes in Electrical Engineering, vol 329. Springer, Dordrecht. https://doi.org/10.1007/978-94-017-9558-6_9

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  • DOI: https://doi.org/10.1007/978-94-017-9558-6_9

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  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-017-9557-9

  • Online ISBN: 978-94-017-9558-6

  • eBook Packages: EngineeringEngineering (R0)

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