Managing risk using macro-financial risk analysis
First Claim
1. A method of assessing risk, comprising:
- accessing macroeconomic data;
calculating at least one contingent claim value associated with the macroeconomic data;
forming at least one economic balance sheet using the contingent claim value; and
displaying at least one entry of the economic balance sheet in a user interface of a digital data processing device.
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Abstract
The disclosed technology enables a software application program, executed by a processor of a digital data processing device, to analyze and model economic/financial risk associated with sovereigns, financial sectors, non-financial sectors, and/or investment portfolios. The disclosed technology can calculate and assess, for example, contingent claim values, asset values, volatilities, default barriers, and monetary parameters from financial and macroeconomic data associated with government and monetary authorities and can use such calculations to calibrate risk models and generate economic balance sheets for an economy useful in valuation, risk and vulnerability analysis, risk mitigation, design of investment strategies, and policy analysis and design.
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Citations
33 Claims
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1. A method of assessing risk, comprising:
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accessing macroeconomic data;
calculating at least one contingent claim value associated with the macroeconomic data;
forming at least one economic balance sheet using the contingent claim value; and
displaying at least one entry of the economic balance sheet in a user interface of a digital data processing device. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. A software application program for assessing risk, comprising:
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instructions affecting the operation of a processor in a digital data processing device, the processor executing at least some of the instructions to access macroeconomic data;
calculate at least one contingent claim value associated with the macroeconomic data;
form at least one economic balance sheet using the contingent claim value; and
display at least one entry of the economic balance sheet in a user interface of a digital data processing device. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21, 22)
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23. A system for assessing risk, comprising:
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a means for accessing macroeconomic data;
a means for calculating at least one contingent claim value associated with the macroeconomic data;
a means for forming at least one economic balance sheet using the contingent claim value; and
a means for displaying at least one entry of the economic balance sheet in a user interface of a digital data processing device. - View Dependent Claims (24, 25, 26, 27, 28, 29, 30, 31, 32, 33)
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Specification