Credit Risk VaR Real-Time Evaluating System Based-on Two Level Master-Worker Cluster

Combining with the hierarchal organization, a credit risk value at risk (VaR) real-time evaluating system that is based on CreditMetrics framework is designed using two level master/worker PC clusters. Meanwhile, the Monte Carlo simulation algorithm for the CreditMetrics framework VaR computing is analyzed; a strategy to reduce the serial part of algorithm is put forward. Experiments show that it can improve speedup effectively.