Cutting Edge introduction: Computation, computation, computation
Today’s modelling approaches can require huge computing power, but help is at hand. Laurie Carver introduces this month’s technical articles, each of which covers a different method of achieving computation-friendly results
Complicated mathematical models are all very well, but if they are too unwieldy they are no use to banks. Amenability to computation has become a prized feature in today’s modelling approaches, partly because risks have to be calculated at the portfolio level – and this requires potentially huge amounts of computing power.
There are two ways to achieve this – techniques from computer science can be used to speed up calculation, or models can be developed that are inherently more computation
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