Parallel Monte Carlo Simulation of VaR Calculation Based on Intel MIC Architecture

With regard to the research on financial risk management, Value-at-Risk(VaR) has been widely accepted as a standard approach to financial risk management. There are various ways applicable to calculate VaR, of which Monte Carlo Simulation is regarded as the most effective one to deal with VaR calculation. Nevertheless, the calculation accuracy of the Monte Carlo Simulation method tends to be affected by the scale of simulation. As the scale of simulation increases, the calculation accuracy improves. In the meantime, however, the time cost rises on a continued basis. Therefore, it is difficult for the Monte Carlo Simulation method to be applied in practice. In order to solve this problem, a parallel Monte Carlo Simulation calculation method based on Intel MIC architecture is proposed in this paper to calculate VaR. The simulation process consists of a group of simulation tasks at a time. Due to the absence of data dependency between each simulation task, it is capable of excellent parallelism. In this paper, the OpenMP programming model was applied to assign each simulation task to a different thread for execution. Then, a comparison was performed between the CPU sequential execution scheme, the scheme based on MIC offload mode and the scheme based on MIC native mode. According to the comparative results, the solution based on MIC native mode is superior to that based on MIC offload mode. When the number of times for simulation to be conducted reaches 50,000, the parallel algorithm in MIC native mode achieves a maximum speed-up of 93.2 times compared to CPU sequential calculations, which could make the Monte Carlo Simulation of VaR calculations suitable for practical application.