Patent ID: 9171332
Filing Date: 2015-10-27
Classification: G06Q

Abstract:
1. A computerized system for mitigating risks of an issuer of an insurance instrument including formulating data specifying a risk mitigation portfolio that includes at least a first derivative that is a hybrid derivative selected to embed equity and interest rate exposure simultaneously and which exhibits a payoff formula that is a joint function of an equity index and an interest rate, comprising: a data storage device storing information associated with the insurance instrument; one or more computer processors in electronic communication with said data storage device and said issuer; a risk assessment module for assessing the risks associated with the issuance of said insurance instrument, said risks including behavior risks and market risks; and a risk mitigation engine for directly mitigating the risks of the issuer associated with said issuance of said insurance instrument by utilizing a risk mitigation instrument that is at least in part based on at least a first derivative, wherein the risk mitigation engine is configured to: calculate a base valuation estimate corresponding to the risks associated with said issuance of said insurance instrument and an estimate of sensitivities of the base valuation estimate to changes in capital markets data; formulate, based on the base valuation estimate and the estimate of the sensitivities of the base valuation estimate, the data specifying the risk mitigation portfolio that includes the at least first derivative that is a hybrid derivative selected to embed the equity and the interest rate exposure simultaneously and which exhibits the payoff formula that is a joint function of the equity index and the interest rate; transmit instructions which cause trades to be executed on behalf of the issuer based on the data specifying the risk mitigation portfolio that position the sensitivities of a valuation estimate of the risk mitigation portfolio within a desired range of the estimate of the sensitivities of the base valuation estimate; determine whether exposure values corresponding to the risk mitigation portfolio are within a desired range of the estimate of the sensitivities of the base valuation estimate by continuously reviewing net exposures corresponding to updated capital markets data; and responsive to a determination that the exposure values corresponding to the existing risk mitigation portfolio are not within the desired range of the estimate of the sensitivities of the base valuation estimate, generate an updated risk mitigation portfolio by repeating the formulating and issuing steps.