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Sandy Ryza walks the audience through a basic VaR calculation with Spark. The calculation employs the widely used Monte Carlo method, which is useful for modeling portfolios with non-normal distributions of returns. The talk aims to give a feel for what it is like to approach financial modeling with modern big data tools. Filmed at qconnewyork.com.
Sandy Ryza is a data scientist at Cloudera focusing on Apache Spark and its ecosystem. He is an active contributor to the Spark project and coauthor of O’Reilly Media’s forthcoming Advanced Analytics on Spark, as well as an Apache Hadoop committer and PMC member.