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Distributed Calculation Credit Portfolio Models

In: The Digital Journey of Banking and Insurance, Volume II

Author

Listed:
  • Volker Liermann

    (ifb SE)

  • Sangmeng Li

    (ifb SE)

  • Johannes Waizner

    (ifb SE)

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.

Suggested Citation

  • Volker Liermann & Sangmeng Li & Johannes Waizner, 2021. "Distributed Calculation Credit Portfolio Models," Springer Books, in: Volker Liermann & Claus Stegmann (ed.), The Digital Journey of Banking and Insurance, Volume II, edition 1, pages 119-134, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78829-2_7
    DOI: 10.1007/978-3-030-78829-2_7
    as

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