Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/4421
Title: Speeding-up the execution of credit risk simulations using desktop grid computing: A case study
Authors: Mustafee, N
Taylor, S J E
Keywords: Grid Computing;Desktop Grids;Monte Carlo Simulation;COTS Simulation Package;WinGrid
Issue Date: 2010
Publisher: OR Society
Citation: Proceedings of the Operational Research Society Simulation Workshop 2010 (SW10), Worcestershire, March 2010. pp. 176-183
Abstract: This paper describes a case study that was undertaken at a leading European Investment bank in which desktop grid computing was used to speed-up the execution of Monte Carlo credit risk simulations. The credit risk simulations were modelled using commercial-off-the-shelf simulation packages (CSPs). The CSPs did not incorporate built-in support for desktop grids, and therefore the authors implemented a middleware for desktop grid computing, called WinGrid, and interfaced it with the CSP. The performance results show that WinGrid can speed-up the execution of CSP-based Monte Carlo simulations. However, since WinGrid was installed on non-dedicated PCs, the speed-up achieved varied according to users’ PC usage. Finally, the paper presents some lessons learnt from this case study. It is expected that this paper will encourage simulation practitioners and CSP vendors to experiment with desktop grid computing technologies with the objective of speeding-up simulation experimentation.
URI: http://bura.brunel.ac.uk/handle/2438/4421
Appears in Collections:Computer Science
Dept of Computer Science Research Papers

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