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Methods for determining value at risk

  • US 20020019803A1
  • Filed: 04/26/2001
  • Published: 02/14/2002
  • Est. Priority Date: 05/01/2000
  • Status: Active Grant
First Claim
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1. A method of determining value-at-risk, comprising the steps of:

  • electronically receiving financial market transaction data over an electronic network;

    electronically storing in a computer-readable medium said received financial market transaction data;

    constructing an inhomogeneous time series z that represents said received financial market transaction data;

    constructing an exponential moving average operator;

    constructing an iterated exponential moving average operator based on said exponential moving average operator;

    constructing a time-translation-invariant, causal operator Ω

    [z] that is a convolution operator with kernel ω and

    that is based on said iterated exponential moving average operator;

    electronically calculating values of one or more predictive factors relating to said time series z, wherein said one or more predictive factors are defined in terms of said operator Ω

    [z];

    electronically storing in a computer readable medium said calculated values of one or more predictive factors; and

    electronically calculating value-at-risk from said calculated values.

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