FAST AND ACCURATE METHOD FOR ESTIMATING PORTFOLIO CVaR RISK
First Claim
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1. A method for measuring a risk of a portfolio, the method comprising:
- estimating, by a computing system, a β
-level CVaR (Conditional Value-at-Risk) of the portfolio, wherein β
is a real number between 0 and 1, and the portfolio includes n number of assets.
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Abstract
A method, system and computer program product for measuring a risk of an asset portfolio. The system estimates a β-level CVaR (Conditional Value-at-Risk) of the asset portfolio by modeling interdependencies between assets in the asset portfolio. The modeling is based on Gaussian copula model.
33 Citations
24 Claims
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1. A method for measuring a risk of a portfolio, the method comprising:
estimating, by a computing system, a β
-level CVaR (Conditional Value-at-Risk) of the portfolio, wherein β
is a real number between 0 and 1, and the portfolio includes n number of assets.- View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A system for measuring a risk of a portfolio, the system comprising:
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at least one memory device; and at least one processor connected to the memory device, wherein the processor is configured to; estimate a β
-level CVaR (Conditional Value-at-Risk) of the portfolio, wherein β
is a real number between 0 and 1, and the portfolio includes n number of assets. - View Dependent Claims (11, 12, 13, 14, 15, 16, 17, 18)
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19. A computer program device for measuring a risk of an asset portfolio, the computer program device comprising a storage medium readable by a processing circuit and storing instructions run by the processing circuit for performing a method, the method comprising:
estimating a β
-level CVaR (Conditional Value-at-Risk) of the portfolio, wherein β
is a real number between 0 and 1, and the portfolio includes n number of assets.- View Dependent Claims (20, 21, 22, 23, 24)
Specification