rustkernel-risk
GPU-accelerated risk analytics kernels for credit, market, and portfolio risk.
Kernels (5)
Credit Risk (1 kernel)
- CreditRiskScoring - PD/LGD/EAD calculation and credit scoring
Market Risk (3 kernels)
- MonteCarloVaR - Monte Carlo Value at Risk simulation
- PortfolioRiskAggregation - Correlation-adjusted portfolio VaR
- RealTimeCorrelation - Streaming correlation matrix updates
Stress Testing (1 kernel)
- StressTestScenario - Scenario-based stress testing
Installation
Add to your Cargo.toml:
[]
= "0.1.0"
Usage
use *;
// Calculate VaR using Monte Carlo
let var = new;
let result = var.calculate;
License
Apache-2.0