9290

Using High Performance Computing for Optimizing Credit Risk Calculation

Mark Joselli, Jose Ricardo Silva Junior, Marcelo Zamith, Esteban Clua, Eduardo Soluri
MediaLab, IC-UFF
GPU Computing Developer Forum, 2012
@article{joselli2012using,

   title={Using High Performance Computing for Optimizing Credit Risk Calculation},

   author={Joselli, Mark and Junior, Jose Ricardo Silva and Zamith, Marcelo and Clua, Esteban and MediaLab, ICUFF and Soluri, Eduardo and Tecnologia, Nullpointer},

   year={2012}

}

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The volume of banks data calculation is increasing each year with extraordinary scale and with that, new forms of computation is needed. High performance computing is a very attractive field for optimization such bank calculous, which can give promising results. This paper shows a implementation of know model for assessing the credit risk of a company. For getting most accurate price and speedup comparisson, this method was implemented in both CPU and GPU version. The Gpu version was builtt using CUDA architecture and show some reasons and advantages of using such the Gpu computing for computational finance.
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