Distributed Calculation Credit Portfolio Models

Volker Liermann (), Sangmeng Li () and Johannes Waizner ()
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Volker Liermann: ifb SE
Sangmeng Li: ifb SE
Johannes Waizner: ifb SE

A chapter in The Digital Journey of Banking and Insurance, Volume II, 2021, pp 119-134 from Springer

Abstract: Abstract Credit portfolio models are—besides rating models—the most important tools to measure and manage credit risks. The technological advancement in cheap and size-adaptable computational power enables fast and efficient new model implementation patterns for Monte-Carlo-based credit portfolio models. As an illustrative example, the well-accepted CreditMetrics model is implemented on a Hadoop cluster.

Keywords: Hadoop; Spark; CreditMetrics; Distributed calculation (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78829-2_7

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DOI: 10.1007/978-3-030-78829-2_7

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