Method and apparatus for network-based portfolio management and risk-analysis

• US 20040210500A1
• Filed: 09/03/2003
• Published: 10/21/2004
• Est. Priority Date: 09/09/2002
• Status: Active Grant

• Current Assignee: Barra Incorporated
• Original Assignee: Barra Incorporated
• Inventors: Liu, Zheng, Anderson, Loren, Hand, Peter, Honikman, Anton, Bishopp, Michael, Close, Richard, Sobel, William, Aleskovski, Alex
• Granted Patent: US 7,596,523 B2
• Time in Patent Office: Days
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

The invention comprises a risk model and data, and is provided on a secure Web-based, interactive platform, whereby a user can build customized risk analyses and reports, covering multiple asset classes and markets. The invention also organizes and categorizes assets along dimensions best reflecting a user'"'"'s investment process, determines risk assumed, determines sources of risk, allows viewing of a portfolio'"'"'s risk exposures, identifies and quantifies sources of volatility, provides streamlined risk reporting, and provides a trade scenario utility.

Claims

1. An apparatus for portfolio management and risk-analysis, comprising:

a risk model comprising a mechanism for at least one of;

building customized risk analyses and reports, covering multiple asset classes and markets;

organizing and categorizing assets along dimensions best reflecting a user'"'"'s investment process;

determining risk assumed;

determining sources of risk;

viewing a portfolio'"'"'s risk exposures;

identifying and quantifying sources of volatility;

providing risk reporting; and

providing a trade scenario utility;

a data base; and

a secure, Web-based, interactive, N-layer, shared object framework for temporary data storage, process coordination, synchronous state management, and notification comprising a set of objects that reside in a conceptual space.

2. The apparatus of claim 1, wherein each layer of said N-layer framework is organized to allow presentation of services and interfaces to any layers above it;

wherein an upper layer can use services of layers that are multiple levels below it; and

wherein lower layers do not have knowledge of layers above it.

3. The apparatus of claim 1, said N-layer framework comprising:

a user agent (UA) layer for gathering a user input and rendering a server response;

an HTTP application layer (HAL);

a business object layer (BOL);

an analytics layer (AL);

an infrastructure services (IS) layer; and

a data access (DA) layer.

4. The apparatus of claim 3, said user agent layer comprising:

a browser-based application for communicating with said apparatus via said HTTP application layer.

5. The apparatus of claim 3, said HTTP application layer comprising:

a Web-application-server, further comprising a servlet that performs interpretation of said agent layer requests and dispatching of work to different subsystems within said apparatus.

6. The apparatus of claim 3, said business object layer comprising:

means for dispatching a plurality of events that are stored as part of a template associated with a request, and for invoking said business object layer to perform certain actions.

7. The apparatus of claim 3, said analytics layer comprising:

means for receiving calls from said business object layer and for invoking any of libraries and analytics to perform calculations necessary for said business object layer.

8. The apparatus of claim 3, said infrastructure services layer comprising:

means for providing distributed processing, including any of remote method distribution, load balancing, batch job management, and data access and caching services.

9. The apparatus of claim 7, said analytics layer further comprising:

a plurality of analytics engines.

10. The apparatus of claim 9, said analytics layer further comprising:

means for synchronizing results in said analytics engines when processing is complete.

11. The apparatus of claim 9, said analytics layer further comprising:

means for synchronizing market conditions in said analytics engines.

12. The apparatus of claim 1, wherein processes that want to use said objects can either take an object from said space or read an object state without removing it;

wherein any process can write an object to said space; and

wherein if no object matching a reader'"'"'s pattern exists in said space, a process can either block or register for asynchronous notification when an object is available.

13. The apparatus of claim 3, wherein said analytics layer comprises:

means for determining if, as part of any calculation, it is necessary for said calculation to be carried out locally or if it must be distributed to a remote machine.

14. The apparatus of claim 3, wherein said analytics layer comprises:

a risk calculator which provides an entry point for all risk computations.

15. The apparatus of claim 3, wherein said analytics layer comprises:

an analytics library comprising a plurality of analytics engines that are specialized, based on criteria which may include any of current analysis, historical analysis, risk, optimization, and fixed income exposures calculations.

16. The apparatus of claim 15, wherein said analytics layer comprises:

a plurality of analytics objects which comprise interfaces used by said analytics library to get necessary information for a calculation.

17. The apparatus of claim 15, wherein said analytics layer comprises:

risk analytics for performing risk computations.

18. The apparatus of claim 15, wherein said analytics layer comprises:

instrument analytics for performing pricing and exposure computations on specific instruments.

19. The apparatus of claim 3, wherein said infrastructure services layer comprises:

a job scheduling and maintenance facility for coordinating periodic tasks, as well as long running tasks, and for remotely scheduling jobs, canceling jobs in progress or waiting to be run, and for checking on job status;

a distributed processing facility for tasks that require more than a single resource to complete and for distributing a load using available resources;

a task coordination facility for coordinating different sub-tasks that complete a master task;

a load balancing facility; and

a persistence management facility.

20. The apparatus of claim 3, wherein said data access layer comprises:

long term durable persistence;

shared temporary persistence; and

caching.

21. A secure, Web-based, interactive framework for portfolio management and risk-analysis, comprising:

an analytics layer that implements a risk model comprising a mechanism for at least one of;

building customized risk analyses and reports, covering multiple asset classes and markets;

organizing and categorizing assets along dimensions best reflecting a user'"'"'s investment process;

determining risk assumed;

determining sources of risk;

viewing a portfolio'"'"'s risk exposures;

identifying and quantifying sources of volatility;

providing risk reporting; and

providing a trade scenario utility;

said analytics layer comprising;

means for determining if, as part of any calculation, it is necessary for said calculation to be carried out locally or if it must be distributed to a remote machine;

a risk calculator which provides an entry point for all risk computations;

an analytics library comprising a plurality of analytics engines that are specialized, based on criteria which may include any of current analysis, historical analysis, risk, optimization, and fixed income exposures calculations;

a plurality of analytics objects which comprise interfaces used by said analytics library to get necessary information for a calculation; and

instrument analytics for performing pricing and exposure computations on specific instruments.

22. The framework of claim 21, said framework comprising:

an N-layer, shared object framework for temporary data storage, process coordination, synchronous state management, and notification comprising a set of objects that reside in a conceptual space.

23. An N-layer framework for portfolio management and risk analysis, comprising:

a user agent (UA) layer for gathering a user input and rendering a server response;

an HTTP application layer (HAL);

a business object layer (BOL);

an analytics layer (AL);

an infrastructure services (IS) layer; and

a data access (DA) layer.

24. A method for portfolio management and risk-analysis, comprising the steps of:

providing a risk model comprising a mechanism for at least one of;

building customized risk analyses and reports, covering multiple asset classes and markets;

organizing and categorizing assets along dimensions best reflecting a user'"'"'s investment process;

determining risk assumed;

determining sources of risk;

viewing a portfolio'"'"'s risk exposures;

identifying and quantifying sources of volatility;

providing risk reporting; and

providing a trade scenario utility;

providing a data base; and

providing a secure, Web-based, interactive, N-layer, shared object framework for temporary data storage, process coordination, synchronous state management, and notification comprising a set of objects that reside in a conceptual space.

25. The method of claim 24, said step of providing a framework further comprising the steps of:

providing a user agent layer comprising a browser-based application for communicating with via an HTTP application layer;

providing said HTTP application layer which comprises a Web-application-server, further comprising a servlet that performs interpretation of said agent layer requests and dispatching of work to different subsystems within said framework;

providing a business object layer for dispatching a plurality of events that are stored as part of a template associated with a request, and for invoking said business object layer to perform certain actions;

providing an analytics layer for receiving calls from said business object layer and for invoking any of libraries and analytics to perform calculations necessary for said business object layer;

providing an infrastructure services layer for distributed processing, including any of remote method distribution, load balancing, batch job management, and data access and caching services; and

providing a data access layer which comprises long term durable persistence;

shared temporary persistence; and

caching.

26. The method of claim 25, said step of providing an analytics layer further comprising the steps of:

providing a plurality of analytics engines;

synchronizing results in said analytics engines when processing is complete;

synchronizing market conditions in said analytics engines;

determining if, as part of any calculation, it is necessary for said calculation to be carried out locally or if it must be distributed to a remote machine;

providing a risk calculator as an entry point for all risk computations;

providing an analytics library comprising a plurality of analytics engines that are specialized, based on criteria which may include any of current analysis, historical analysis, risk, optimization, and fixed income exposures calculations;

providing a plurality of analytics objects which comprise interfaces used by said analytics library to get necessary information for a calculation;

providing risk analytics for performing risk computations; and

providing instrument analytics for performing pricing and exposure computations on specific instruments.

27. A method for portfolio management and risk-analysis, comprising the steps of:

providing a risk model comprising a mechanism for at least one of;

building customized risk analyses and reports, covering multiple asset classes and markets;

organizing and categorizing assets along dimensions best reflecting a user'"'"'s investment process;

determining risk assumed;

determining sources of risk;

viewing a portfolio'"'"'s risk exposures;

identifying and quantifying sources of volatility;

providing risk reporting; and

providing a trade scenario utility;

providing a data base; and

providing a secure, Web-based, interactive, N-layer, shared object framework for temporary data storage, process coordination, synchronous state management, and notification comprising a set of objects that reside in a conceptual space.