Tag Archives: VaR

So CEO Jamie Diamond admits JP Morgan’s new VaR Value at Risk model morphed into 4+ billion dollar loss?

So CEO Jamie Diamond admits JP Morgan’s new VaR Value at Risk model morphed into 4+ billion dollar loss?
After today’s testimonial in a Washington Senate chamber, Diamond admitted this. Too bad they did not go into details to talk proprietary info? Anyone got any thoughts or ideas on this?  The power of quant modelling huh?

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VaR model estimation of info based impact measure

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Here we grow again? Thanks to those who join QuantLabs.Net PREMIUM Membership with huge interest in our VAR (Value at Risk) market data

Here we grow again? Thanks to those who join QuantLabs.Net PREMIUM Membership with huge interest in our VAR (Value at Risk) market data

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Quantile Value At Risk (VaR) model added to the QuantLabs.net Premium Membership services

Quantile Value At Risk (VaR) model added to the QuantLabs.net Premium Membership services

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Would you 22GB Nvida Tesla GPU server for heavy Value at Risk VaR calculations?

From a Linked In group:

An Nvidia Tesla 2050, according to a web search, is about $2500, so $5000 for the GPUs. That leaves $5000 for a server to host them with that 22GB of RAM. That may indeed be low, but I haven’t priced a server in a while so I’m not sure. But it does seem a bit optimistic.

http://www.velocitymicro.com/wizard.php?sr=0&iid=187

it comes out at around $11K.

One use could be for VaR calculations, you don’t need it all the time just for the run

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