Monte Carlo grid for financial risk management

Shu Tezuka, Hiroki Murata, Shuji Tanaka, Shoji Yumae

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)811-821
Number of pages11
JournalFuture Generation Computer Systems
Issue number5
Publication statusPublished - May 2005

All Science Journal Classification (ASJC) codes

  • Software
  • Hardware and Architecture
  • Computer Networks and Communications


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