Patent ID: 8036974
Filing Date: 2011-10-11
Classification: G06Q

Abstract:
1. A computer-implemented method for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments by performing a simulation, wherein acts of said method are performed by computer, said computer comprising at least one computer processor and at least one memory, said method comprising: identifying, by the at least one computer processor, at least a first time horizon for said simulation; receiving, by the at least one computer processor, data identifying X, wherein X is a vector of scalar-valued market risk factor processes, each market risk factor process defined by a start value, at least one function representing a model, and zero or more parameters for the model; receiving, by the at least one computer processor, data identifying Y, wherein Y is a vector of scalar-valued systemic credit driver processes, each systemic credit driver process defined by a start value, at least one function representing a model, and zero or more parameters for the model; receiving, by the at least one computer processor, data comprising one or more co-variance matrices that define the joint evolution of X and Y over said first time horizon; identifying, by the at least one computer processor, a first parameter M, wherein M>0, and a second parameter S, wherein S>1; the at least one computer processor generating MS conditional loss distributions for said first time horizon to compute an unconditional loss distribution {circumflex over (F)} for said first time horizon by performing acts comprising: providing, by the at least one computer processor, the unconditional loss distribution {circumflex over (F)} for said first time horizon for calculating one or more risk measures from said unconditional loss distribution {circumflex over (F)}, said one or more risk measures for use in evaluating risk associated with said portfolio.