Credit Risk Modelling using Hardware Accelerated Monte-Carlo Simulation
David B. Thomas and Wayne Luk
2008, In Proceedings of FCCM
The recent turmoil in global credit markets has demonstrated the need for advanced modelling of credit risk, which can take into account the effects of changing economic conditions on portfolios of loans. Such models are most easily described as Monte-Carlo simulations, but take too long to converge in software based simulators. This paper describes a hardware implementation of a loan portfolio simulator, which uses an event based model to describe changes both in prevailing economic conditions, and the behaviour of individual loans within the portfolio. Three distinct variants of the simulator are developed using transformations of the simulation algorithm, with each variant trading off area utilisation against the efficiency with which different event types can be processed. As the distribution of event types is highly dependent on the input data, each of the three variants provides the highest overall performance per FPGA for some set of input data characteristics. The hardware simulators are implemented using a Virtex-4 xc4vsx55 device running at 233MHz in an RC2000 PCI card, and compared to four parallel software simulation threads running in a quad-core Pentium-4 Core2 at 2.4GHz, providing a speed-up of between 60 and 100 times.