Patent ID: 11966975
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 15:
16. A system including:
means for generating a time series of value data, the value data corresponding to a transaction execution value for a product of a grouping of products, the time series of value data including a first plurality of dimensions each corresponding to a different factor contributing to dynamics of the time series of value data;
means for transforming the time series of value data by rotating from a first space including the plurality of the dimensions to a second space including the plurality of the dimensions with diagonalized covariance;
means for calculating a plurality of curves in the second space by applying a filtered historical simulation based on forward-looking volatility of the time series of value data;
means for statically capturing an inter-curve correlation by sampling time-aligned residuals via analysis of the plurality of curves in the second space;
means for reverse transforming the time-aligned residuals using a reverse rotation into the first space; and
means for estimating a value at risk for the product of the grouping of products based on the reverse transformed time-aligned residuals.