Patent ID: 6085175
Filing Date: 2000-07-04
Classification: G06Q

Abstract:
A data processing system for assisting in a financial risk analysis of a financial portfolio by determining a range of an expected value of a value-at-risk (V.sub.A) of a financial portfolio, the range having a low limit value and a higher limit value, the financial portfolio comprising a plurality of ordered financial data samples (V.sub.K), the system comprising:input means for receiving said plurality of samples V.sub.K ;first control means, connected to said input means for determining:(1) the low limit value of V.sub.A (LOW.sub.-- V.sub.A) in accordance with a following expression:LOW.sub.-- V.sub.A =.SIGMA..sub.K (P.sub.K V.sub.K+1)wherein K is a predetermined variable corresponding to a position of a particular sample V.sub.K in the ordered plurality of samples V.sub.K, said K variable ranging from a lower predetermined value K.sub.min to a higher predetermined value K.sub.max, wherein P.sub.K is a probability value determined for each particular value of K in accordance with a following expression: ##EQU3## wherein A is a predetermined variable representative of desired accuracy of V.sub.A determination, and wherein N is a value representative of an amount of V.sub.K samples in the plurality of ordered samples V.sub.K, and(2) the high limit value of V.sub.A (HIGH.sub.-- V.sub.A) in accordance with a following expression:HIGH.sub.-- V.sub.A =.SIGMA..sub.K (P.sub.K V.sub.K)for said variable K ranging from said value K.sub.min to said value K.sub.max ; andoutput means connected to said first control means for providing an output of the range of expected values of V.sub.A, the range comprising the low limit value LOW.sub.13 V.sub.A and the high limit value HIGH.sub.-- V.sub.A, such that said range of expected values of V.sub.A is available for utilization, by at least one of a financial analyst or a secondary financial analysis data processing system, for decision making in connection with the financial portfolio.