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Risk management system, distributed framework and method

  • US 20010011243A1
  • Filed: 03/20/2001
  • Published: 08/02/2001
  • Est. Priority Date: 06/02/1999
  • Status: Abandoned Application
First Claim
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1. A method of determining at least one risk metric for a portfolio of instruments, comprising the steps of:

  • (i) selecting a set of instruments, each instrument in said set having a model defined therefore, each model operating on at least one risk factor to produce a value for said instrument;

    (ii) selecting a set of scenarios, each scenario comprising a risk factor value for each risk factor operated on by said models of said instruments at at least a first and second time interval and each scenario having a probability value assigned thereto, said probability value representing the likelihood of said scenario occurring;

    (iii) applying said selected set of scenarios to said set of instruments to produce a risk value for each instrument in said set of instruments for each scenario in said set of scenarios for each time interval;

    (iv) storing in a database each instrument risk value produced for each instrument in said set; and

    (v) for a portfolio of instruments comprising at least a subset of said set of instruments, producing a desired risk metric from said associated probabilities and said determined risk values for each instrument of said portfolio by retrieving said stored risk values from said database.

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