Automated Risk Monitoring Method and System

• US 20090259596A1
• Filed: 02/24/2005
• Published: 10/15/2009
• Est. Priority Date: 02/24/2005
• Status: Abandoned Application

• Current Assignee: Swiss Reinsurance Company
• Original Assignee: Swiss Reinsurance Company, Coffee Nation Ltd. (The Coca-Cola Company)
• Inventors: Wilhelmy, Lutz, Middelkamp, Peter
• Application Number:
  US11/817,121
• Publication Number:
  US 20090259596A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/08 Insurance

Abstract

The invention relates to an automated risk monitoring method and a corresponding risk monitoring system for automated risk monitoring, in the case of which control data for different companies are transferred to a monitoring unit and evaluated, a company specific asset distribution and a corresponding threshold value being determined, said threshold value corresponding to the expected value of the asset parameter for the occurrence of the insolvency of a company, recovery rate factors being determined by means of a standardization module of the monitoring unit, and wherein, using a MonteCarlo module of the monitoring unit (20), MonteCarlo asset parameters are generated for each company by means of which the companies with the lowest expected recovery rate factors are determined and dynamic adjustment of the portfolio accordingly made by means of the monitoring unit.

Claims

1. A method for networked monitoring and dynamic portfolio adjustment among a plurality of entities, in which individual entity'"'"'s, in the plurality of entities, one or more asset parameters are extracted on an entity-specific basis from control data and the one or more asset parameters of the plurality of entities are evaluated stochastically such that at least one entity-specific asset distribution is determined and stored, comprising:

storing a determined threshold value based on at least one entity-specific asset distribution, the stored threshold value being stored with an association, if the threshold value is equivalent to an expected value of one or more asset parameters for the occurrence of insolvency of the individual entity;

standardizing determined entity-specific recovery rate factors in a manner which is associated with one or more of the entity-specific asset distribution or the stored threshold value; and

generating MonteCarlo asset parameters for individual entities, in the plurality of entities, to determine the expected recovery rate factors;

displaying the individual entities with the expected recovery rate factors.

2. The method of claim 1 further comprising storing, in a limited access environment, one or more lowest expected recovery rate factors, included in the determined entity-specific recovery rate factors, such that an authorized user can adjust a subject portfolio.

3. The method of claim 1 wherein one or more lowest expected recovery rate factors, included in the determined entity-specific recovery rate factors, are wirelessly broadcast.

4. The method of claim 3 wherein security for the encryption is centrally managed.

5. The method of claim 3 further comprising extracting relevant data from the broadcast fo a specific portfolio.

6. The method of claim 3 further comprising filtering the broadcast for at least one of the determined entity-specific recovery rate or an expected value of one or more asset parameters for the occurrence of insolvency of the individual entity for a entity represented in a specific portfolio.

7. A method for monitoring credit risk of a financial portfolio comprising:

extracting one or more asset parameters, on a entity-specific basis, from control data for individual entities represented in the portfolio;

stochastically evaluating the one or more asset parameters to determine at least one entity-specific asset distribution;

determining a threshold value based on the least one entity-specific asset distribution;

storing an association with the threshold value, if the threshold value is equivalent to an expected value of one or mores asset parameters associated with an entity'"'"'s insolvency;

generating MonteCarlo asset parameters for individual entities, represented in the portfolio, to determine expected recovery rate factors;

standardizing recovery rate factors for the individual entities, represented in the portfolio, for the at least one entity-specific asset distribution; and

displaying the expected recovery rate factors for the individual entities, represented in the portfolio.

8. The method of claim 7 further comprising storing, in a limited access environment, a lowest expected recovery rate factor in association with the portfolio.

9. The method of claim 8 further comprising broadcasting the lowest expected recovery rate factor.

10. The method of claim 9 wherein access to the broadcast is centrally managed.

11. The method of claim 7 wherein the method is at least partially implemented in a wireless environment.

12. The method of claim 7 further comprising automatically purchasing a security representing an interest in an individual entity, represented in the portfolio, to adjust the portfolio'"'"'s risk exposure.

13. Computer readable media comprising computer executable instructions that, when implemented by a computing system, direct the computing system to:

extract one or more asset parameters, on a entity-specific basis, from control data for individual entities represented in the portfolio;

stochastically evaluate the one or more asset parameters to determine at least one entity-specific asset distribution;

determine a threshold value based on the least one entity-specific asset distribution for storage;

store an association with the threshold value, if the threshold value is equivalent to an expected value of one or mores asset parameters associated with an entity'"'"'s insolvency;

generate MonteCarlo asset parameters for individual entities, represented in the portfolio, to determine expected recovery rate factors;

standardize recovery rate factors for the individual entities, represented in the portfolio, for the at least one entity-specific asset distribution; and

display the expected recovery rate factors for the individual entities.

14. The computer readable media of claim 13 further comprising centrally manage security for display of the expected recovery rate factors.

15. The computer readable media of claim 13 store a lowest expected recovery rate factor in association with the portfolio.

16. The computer readable media of claim 13 further comprising automatically order a security for an individual entity to rebalance the portfolio'"'"'s risk factor.

17. A system for automatically monitoring credit risk of a portfolio comprising:

a central monitoring unit, for monitoring control data for individual entities represented in the portfolio, the monitoring unit being configured to stochastically evaluate one or more asset parameters extracted from the control data to obtain a standardized recovery rate factors, based on the expected recovery rate factors for the individual entities, which are associated with is MonteCarlo factors for the individual entities represented in the portfolio.

18. The system of claim 17 wherein the central monitoring unit includes:

an extraction module configured to extract the one or more asset parameters for the individual entities from the control data;

a statistical module configured to stochastically evaluate the one or more asset parameters to determine the at least one entity-specific asset distribution;

a storage module configured to store the threshold value determined from the at least one entity-specific asset distribution;

a standardization module configured to standardize the recovery rate factors based on the at least one entity-specific asset distribution and the threshold value; and

a MonteCarlo module configured to generate the MonteCarlo asset parameters for individual entities represented in the portfolio.

19. The system of claim 17 wherein the storage module stores an association with the threshold value, if the threshold value is equivalent to an expected value of one or mores asset parameters associated with an entity'"'"'s insolvency.

20. The system of claim 17 further comprising a wireless transmitter configured to broadcast at least one of the expected recovery rate factors for an individual entity, represented in the portfolio.