Value-at-risk computation as-a-service on cloud

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Choudhury, Ratna
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Computing on a Cloud platform has become popular in the recent past, which people use in large scale due to of on-demand availability of compute resources. It enables users to get their job done without direct active involvement of system management. The service is available to users over the internet. Cloud's "pay-as-you-go" model makes it easier for the users to pay for the service they acquire and get the work done. Value-at-Risk (VaR) is a measure that estimates the risk on investments, which investors need to be aware of about their investments. VaR measure is widely used in many fronts from common investors to risk managers, from small business to major corporate. Cloud platforms have been providing various services and computing VaR has not been one of them, which is crucial for common investors. For my research work, I propose to provide VaR computing as a service on cloud. To compute the VaR, investors have to upload sensitive financial data to the cloud, which leads to a concern of data security for this highly valuable data. I use an efficient encryption algorithm to provide data security. Actual VaR computation is done using Monte Carlo simulation technique. By establishing link with MS Azure, my thesis work enables a means of providing VaR computation as a service, anytime, anywhere through cloud and help the investors to take their decision promptly.
Value-at-Risk (VaR), Cloud Computing, Monte Carlo simulation, Microsoft Azure, Data Security