ESTIMATING RISK OF A PORTFOLIO OF FINANCIAL INVESTMENTS

• US 20130311398A1
• Filed: 12/03/2012
• Published: 11/21/2013
• Est. Priority Date: 08/08/2005
• Status: Active Application

• Current Assignee: WARP 11 Holdings LLC
• Original Assignee: WARP 11 Holdings LLC
• Inventors: Navin, Robert Lloyd
• Application Number:
  US13/692,350
• Publication Number:
  US 20130311398A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• 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

Abstract

An estimate of the effect of a market condition or conditions on a portfolio of financial investments is determined. Financial risk for a portfolio of financial investments is estimated for particular observed parameter values that affect the value of the portfolio. The financial risk is estimated based on previously calculated measurements of risk of the portfolio for a previously selected range of values of the parameters.

Claims

1. A method, performed at least in part by a computer, for providing an estimate of risk of a portfolio of a plurality of financial investment holdings to fluctuations in portfolio value, the method comprising:

receiving an indication of a first set of values of at least two parameters, the first set of values including a first value for each of the at least two parameters;

accessing an indication of a predetermined measurement of risk of a portfolio holding to a second set of values of the at least two parameters, the second set of values including a second value for each of the at least two parameters;

accessing an indication of a predetermined measurement of risk of the holding to a third set of values of the at least two parameters, the third set of values including a third value for each of the at least two parameters such that the third set of values is different from the second set of values;

using Taylor Series expansion to identify multiple estimated measurements of risk of the holding to multiple values of one of the at least two parameters based on i) the accessed indication of the predetermined measurement of risk of the holding to the second set of values and ii) the accessed indication of the predetermined measurement of risk of the holding to the third set of values; and

using polynomial interpolation to estimate a measurement of risk of the holding to the first set of values based on the multiple estimated measurements of risk.