System for Modeling Risk Valuations for a Financial Institution
First Claim
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1. A computer implemented system for evaluating financial risk, the system comprising:
- a computing device;
a business logic layer residing in a non-transitory memory of said computing device, wherein said business logic layer comprises;
a risk analyzer module for computing and valuing market and credit risks, such as through use of Monte Carlo simulations,a risk modeler comprising over 600 models for providing risk valuation and forecast results for assets or liabilities, anda stochastic risk optimizer for performing static, dynamic and stochastic optimization on portfolios, including making strategic and tactical allocation decisions using said optimization techniques,a user interface for inputting one or more parameters,whereby said business logic layer selects a relevant model to run from said risk modeler based on said parameters and automatically maps the parameters to any necessary data required to run the selected model,whereby said business logic layer runs a simulation by applying the selected model to said parameters;
a data access layer residing in a non-transitory memory of said computing device, for accessing, retrieving, or modifying the data mapped to said parameters; and
a presentation layer residing in a non-transitory memory of said computing device, for presenting the computed results of said simulation.
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Abstract
A method and system allowing banks and financial institutions the capability to perform advanced credit and market risk analyses required by central banks and banking regulators or supervisors, such that the banks are in compliance with the Basel II and Basel III Accord requirements. This system is both a standalone and server-based set of software modules and advanced analytical tools that is used to quantify and value credit and market risk, as well as forecast future outcomes of economic and financial variables, and generate optimal portfolios that mitigate risks.
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Citations
24 Claims
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1. A computer implemented system for evaluating financial risk, the system comprising:
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a computing device; a business logic layer residing in a non-transitory memory of said computing device, wherein said business logic layer comprises; a risk analyzer module for computing and valuing market and credit risks, such as through use of Monte Carlo simulations, a risk modeler comprising over 600 models for providing risk valuation and forecast results for assets or liabilities, and a stochastic risk optimizer for performing static, dynamic and stochastic optimization on portfolios, including making strategic and tactical allocation decisions using said optimization techniques, a user interface for inputting one or more parameters, whereby said business logic layer selects a relevant model to run from said risk modeler based on said parameters and automatically maps the parameters to any necessary data required to run the selected model, whereby said business logic layer runs a simulation by applying the selected model to said parameters; a data access layer residing in a non-transitory memory of said computing device, for accessing, retrieving, or modifying the data mapped to said parameters; and a presentation layer residing in a non-transitory memory of said computing device, for presenting the computed results of said simulation. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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Specification