Montecarlorisk

Calculating Value at Risk with Spark

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Install / Use

/learn @sryza/Montecarlorisk

About this skill

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README

Spark Risk Monte Carlo

A simple Spark application that calculates Value at Risk using the Monte Carlo method.

To make a jar:

mvn package

To run from a gateway node in a CDH5.1+ cluster:

spark-submit --class com.cloudera.datascience.montecarlorisk.MonteCarloRisk --master local \
  target/montecarlo-risk-0.0.1-SNAPSHOT.jar \
  <instruments file> <num trials> <parallellism> <factor means file> <factor covariances file>

This will run the application in a single local process. If the cluster is running a Spark standalone cluster manager, you can replace "--master local" with "--master spark://<master host>:<master port>".

If the cluster is running YARN, you can replace "--master local" with "--master yarn".

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