Patent ID: 8301537
Filing Date: 2012-10-30
Classification: G06Q

Abstract:
1. A computer-implemented system for estimating portfolio risk using an infinitely divisible distribution, comprising: a memory containing a database configured to store a time series comprising a plurality of risk factors applicable over at least one time horizon, a portfolio comprising a plurality of financial assets, and one or more risk adjusted return points for the financial assets; an input device to receive input from a user; a network operatively coupled and providing communication between the memory, the input device, an output device, and a processor; where the processor is programmed to execute program modules, the program modules comprising: where q(r,u) is a positive function on (0,∞)×S d−1 such that lim r→0 +q(r,u)>0 and lim r→∞ q(r,u)=0 and where q(r,1)=e −λ r /2 , q(r,−1)=e −λ r /2 , and ζ(1)=C an application module to determine at least one of value at risk, average value at risk, option price, and portfolio optimization from the estimated parameters and the generated scenarios; and an output device configured to provide the output generated in the application module to the user.