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Path-Dependent Market Risk Observer

  • US 20160098795A1
  • Filed: 10/02/2014
  • Published: 04/07/2016
  • Est. Priority Date: 10/02/2014
  • Status: Abandoned Application
First Claim
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1. A method implemented by a computer for observing market risk, comprising:

  • a. accessing, with said computer, market data of a portfolio over an analysis time interval;

    b. generating a set of market risk observations by evaluating a path-dependent observation function over said market data; and

    c. providing, with the computer, said set of market risk observations;

    d. wherein said path-dependent observation function calculates market risk within said analysis time interval; and

    e. wherein the computer comprises a non-transitory, computer-readable storage medium having computer-executable instructions recorded thereon that, when executed on the computer, configure the computer to perform said method.

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