Patent ID: 6122623
Filing Date: 2000-09-19
Classification: G06Q

Abstract:
A computer implemented method of determining a value-at-risk measure for each of a selected set of transactions, the computer implemented method comprising:converting the transactions into a set of cashflows;storing a set of vertices, each vertex including an edge value for each of a plurality of edges, each edge having a unit type, wherein selected ones of the vertices form a canonical vertex set;receiving a set of N watershed variable values for at least one of the plurality of edges;converting the N watershed variable values to a same unit type as the edge;partitioning the values of the edge into N+1 partitioned edge value sets according to the N watershed variable values;partitioning the vertices of the canonical vertex set according to the N+1 partitioned edge value sets to produce N+1 partitioned vertex sets, each partitioned vertex set including at least one vertex;partitioning the set of cashflows according to the N+1 partitioned edge value sets, to produce N+1 partitioned cashflow sets, each of the N+1 partitioned cashflow sets including at least one cashflow;for each j.sup.th (j=1 . . . N+1) partitioned cashflow set, allocating the cashflows within the j.sup.th partitioned cashflow set onto only the vertices in a corresponding j.sup.th partitioned vertex set; andfor each partitioned vertex set, determining a value at risk for the cashflows allocated unto the vertices in the partitioned vertex set.