Method of systematic risk management and system and computer program product thereof
First Claim
1. A systematic risk management method, comprising the steps of:
- setting a correspondence relation between value at risk and leverage ratio by a risk management unit;
selecting a plurality of subject financial instruments by an interface unit;
obtaining data of the plurality of selected subject financial instruments from a storage unit through the risk management unit;
calculating an individual value at risk for each of the plurality of subject financial instruments by the risk management unit, and selectively adjusting each leverage ratio for each of the plurality of subject financial instruments according to the correspondence relation; and
adding the plurality of subject financial instruments into an asset pool, and outputting the asset pool through the interface unit.
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Abstract
The present invention discloses a systematic risk management method, and its system and computer program product. The method includes the steps of setting a correspondence relation between a value at risk and a leverage ratio common to the global market by a risk management unit, selecting a plurality of subject financial instruments by an interface unit, obtaining data of the selected subject financial instruments from a storage unit by the risk management unit, calculating the value at risk of each subject financial instrument by the risk management unit, selectively adjusting the leverage ratio of each subject financial instrument according to the correspondence relation, and adding the subject financial instruments into an asset pool and outputting the asset pool from the interface unit.
63 Citations
26 Claims
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1. A systematic risk management method, comprising the steps of:
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setting a correspondence relation between value at risk and leverage ratio by a risk management unit; selecting a plurality of subject financial instruments by an interface unit; obtaining data of the plurality of selected subject financial instruments from a storage unit through the risk management unit; calculating an individual value at risk for each of the plurality of subject financial instruments by the risk management unit, and selectively adjusting each leverage ratio for each of the plurality of subject financial instruments according to the correspondence relation; and adding the plurality of subject financial instruments into an asset pool, and outputting the asset pool through the interface unit. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 26)
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13. A systematic risk management system, comprising:
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a storage unit, for storing a plurality of subject financial instrument data; an interface unit, comprising; a financial instrument selection module, for selecting a plurality of subject financial instruments; and an asset pool output module, for outputting an asset pool; and a risk management unit, coupling to the storage unit and the interface unit, for setting a correspondence relation between value at risk and leverage ratio, calculating an individual value at risk for each of the plurality of subject financial instruments, adjusting a leverage ratio of each of the plurality of selected subject financial instruments according to the correspondence relation, adding each of the plurality of selected subject financial instruments in the asset pool, and outputting the asset pool from the asset pool output module. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25)
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Specification