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System and method for determination of incremental value at risk for securities trading

  • US 5,819,237 A
  • Filed: 02/13/1996
  • Issued: 10/06/1998
  • Est. Priority Date: 02/13/1996
  • Status: Expired due to Term
First Claim
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1. A computer readable memory storing thereon a computer program for controlling the execution of a processor to determine whether any candidate trade in a selected trading interval reduces a value at risk measure of a trading portfolio having a selected financial instruments, the computer program controlling the processor to:

  • determine the value at risk measure for the trading portfolio once with respect to the trading interval;

    determine a derivative vector of the value at risk measure;

    determine a set of cashflows for the candidate trade;

    determine an incremental value at risk measure for a candidate trade from the derivative vector of the value at risk measure and the set of cashflows for the candidate trade; and

    ,determine from the sign of the incremental value at risk measure whether the value at risk measure of the trading portfolio is reduced by the candidate trade.

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