Computer-Implemented Systems and Methods for Hedging with Contractual Flows
First Claim
1. A computer-program product comprising a non-transitory machine-readable storage medium that includes instructions operable to cause a data processing apparatus to perform operations including:
- accessing information representing assets and liabilities of an entity;
accessing a representation of a time horizon specified with respect to a series of consecutive future time periods;
generating representations of multiple simulation scenarios on a computing device, wherein the multiple simulation scenarios include one or more impacts associated with hypothetical events during the time horizon, and wherein the one or more impacts are forecasted using the hypothetical events and the information representing assets and liabilities;
receiving input corresponding to a minimum rate for a simulation of future events associated with the multiple simulation scenarios, wherein the minimum rate specifies a percentage of simulation scenarios in which a stress test outcome is achieved; and
identifying a minimum plan for the entity, wherein executing the minimum plan meets or exceeds the minimum rate, wherein identifying the minimum plan includes processing the representations of the simulation scenarios by executing an optimization model subject to at least one constraint, and wherein the optimization model is executed on the computing device and corresponds to the minimum plan.
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Accused Products
Abstract
This disclosure describes computer-program products, systems and computer-implemented methods for optimal liquidity reserve planning. Liquidity portfolio optimization models are disclosed that hedge with contractual cash flows and/or hedge with counterbalancing capacity. With respect to hedging with contractual cash flows, disclosed embodiments receive a minimum solvency rate for a simulation of future events that specifies a percentage of simulation scenarios in which a solvent stress test outcome is achieved, and a minimum cost portfolio is identified that provides solvency in a percentage of simulation scenarios that meets or exceeds the minimum solvency rate. With respect to hedging with counterbalancing capacity, a hedging portfolio is structured by executing a liquidity portfolio optimization model, which prescribes a series of liquidity execution actions related to management of the hedging portfolio with respect to at least one random simulation scenario.
14 Citations
36 Claims
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1. A computer-program product comprising a non-transitory machine-readable storage medium that includes instructions operable to cause a data processing apparatus to perform operations including:
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accessing information representing assets and liabilities of an entity; accessing a representation of a time horizon specified with respect to a series of consecutive future time periods; generating representations of multiple simulation scenarios on a computing device, wherein the multiple simulation scenarios include one or more impacts associated with hypothetical events during the time horizon, and wherein the one or more impacts are forecasted using the hypothetical events and the information representing assets and liabilities; receiving input corresponding to a minimum rate for a simulation of future events associated with the multiple simulation scenarios, wherein the minimum rate specifies a percentage of simulation scenarios in which a stress test outcome is achieved; and identifying a minimum plan for the entity, wherein executing the minimum plan meets or exceeds the minimum rate, wherein identifying the minimum plan includes processing the representations of the simulation scenarios by executing an optimization model subject to at least one constraint, and wherein the optimization model is executed on the computing device and corresponds to the minimum plan. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12)
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13. A system comprising:
a processor configured to perform operations including; accessing information representing assets and liabilities of an entity; accessing a representation of a time horizon specified with respect to a series of consecutive future time periods; generating representations of multiple simulation scenarios, wherein the multiple simulation scenarios are generated on a computing device and include one or more impacts associated with hypothetical events during the time horizon, and wherein the one or more impacts are forecasted using the hypothetical events and the information representing assets and liabilities; receiving input corresponding to a minimum rate for a simulation of future events associated with the multiple simulation scenarios, wherein the minimum rate specifies a percentage of simulation scenarios in which a stress test outcome is achieved; and identifying a minimum plan for the entity that meets or exceeds the minimum solvency rate, wherein identifying the minimum plan includes processing the representations of the simulation scenarios by executing an optimization model subject to at least one constraint, and wherein the optimization model is executed on the computing device and corresponds to the minimum plan. - View Dependent Claims (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24)
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25. A computer-implemented method comprising:
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accessing inputted information representing assets and liabilities of an entity; accessing an inputted representation of a time horizon specified with respect to a series of consecutive future time periods; using a computing device to generate representations of multiple simulation scenarios, wherein the multiple simulation scenarios are generated on the computing device and include one or more impacts associated with hypothetical events during the time horizon, and wherein the one or more impacts are forecasted using the hypothetical events and the information representing assets and liabilities; accessing, on the computing device, an inputted minimum rate for a simulation of future events associated with the multiple simulation scenarios, wherein the minimum rate specifies a percentage of scenarios in which a stress test outcome is achieved; and using the computing device to identify a minimum plan for the entity that meets or exceeds the minimum solvency rate, wherein identifying the minimum plan includes processing the representations of the simulation scenarios by executing an optimization model on the computing device, the optimization model subject to at least one constraint, and wherein the optimization model corresponds to the minimum plan. - View Dependent Claims (26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36)
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Specification