Patent ID: 7778856
Filing Date: 2010-08-17
Classification: G06Q

Abstract:
1. A computer-implemented system for measuring and managing operational risk, comprising a processor and a memory, wherein the computer-implemented system comprises: (a) a database stored in the memory, wherein operational risk data is stored therein, wherein said operational risk data comprises loss, and wherein said operational risk data is associated with one or more operational units; (b) wherein the processor executes instructions to implement a first calibration engine coupled to said database, wherein said calibration engine calibrates loss process distributions, and estimates a plurality of loss process attributes, (c) wherein the processor executes instructions to implement a second reporting hierarchy engine coupled to said database, wherein said reporting hierarchy engine associates each of said calibrated loss process distributions to said one or more operational units; (d) wherein the processor executes instructions to implement a third simulation engine connected to said calibration engine for performing simulation-based computations, wherein said third simulation engine is configured to simulate said calibrated loss process distributions over a plurality of scenarios to generate a loss distribution for each of said one or more operational units, (e) wherein the processor executes instructions to implement a fourth risk engine coupled to said second reporting hierarchy engine and said third simulation engine for computing at least one risk measure using said loss distribution generated for one or more operational units, wherein said risk measure is a measure of operational risk.