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Time Varying Sensitivities On A Grid Architecture

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  • STEFANO D'ADDONA

    ()
    (Department of International Studies, University of Rome III, Rome 00145, Italy)

  • MATTIA CIPRIAN

    ()
    (Department of Mechanical Engineering, University of Trieste, Trieste 34127, Italy)

Abstract

We investigate the gains obtained by using GRID, an innovative web-based technology for parallel computing, in a Risk Management application. We show, by estimating a parametric Value at Risk, how GRID computing offers an opportunity to enhance the solution of computationally demanding problems with decentralized data retrieval. Furthermore, we also provide an analysis of the risk factors in the US market, by empirically testing, on the Fama and French database, a classic one factor model augmented with a time varying specification of beta.

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Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

Volume (Year): 10 (2007)
Issue (Month): 02 ()
Pages: 307-329

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Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:02:p:307-329

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Related research

Keywords: Time varying beta; Kalman filter; GRID computing; Value at Risk;

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References

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