Method and system for computing path dependent probabilities of attaining financial goals

• US 7,509,279 B2
• Filed: 04/17/2006
• Issued: 03/24/2009
• Est. Priority Date: 07/31/2000
• Status: Active Grant

• Current Assignee: Riskmetrics Group Incorporated (Exela Technologies, Inc.)
• Original Assignee: Riskmetrics Group Incorporated (Exela Technologies, Inc.)
• Inventors: Chhabra, Ashvin Bonafede, Zaharoff, Alexander G.
• Primary Examiner(s): Poinvil; Frantzy
• Application Number:
  US11/279,951
• Publication Number:
  US 20060190372A1
• Time in Patent Office: 1,072 Days
• Field of Search: 705 10- 44
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/10 Tax strategies

Abstract

A method and system for computing the probability of attaining one or multiple financial goals is disclosed. Each goal is analyzed and reduced to a series of cash flows. A threshold criterion of success is established. A plurality of paths are generated. Each path is checked on the basis of the success criterion established earlier and those that do not meet the success criterion are considered failures. The probability of success is a function of the paths that are not failures.

Claims

1. A computer system of determining the probability that a financial goal expressed as a cash outflow will be met, comprising:

(a) a database including;

(i) a set of assets associated with a user, said assets associated with a market value; and

(ii) a criterion for success associated with said user, said criterion for success associated with a plurality of periods; and

(b) a programmed processor configured to;

(i) simulate a plurality of market scenarios on said assets, each said scenario adjusting said market value of said assets for each said period;

(ii) apply said criteria for success to each said scenario; and

(iii) calculate the probability said user will satisfy said associated criteria for success.