Patent ID: 8234201
Filing Date: 2012-07-31
Classification: G06Q

Abstract:
1. A computer-implemented method for calculating an x n -day liquidity-adjusted value-at-risk (LA-VaR) measure for a financial portfolio, the method comprising: determining, by a computer system, from an initial set of market risk factors for the portfolio, a core set of liquid risk factors for the portfolio, wherein the core set of liquid risk factors represents a space of liquid risks for the portfolio; determining, by the computer system, a subset of illiquid risk factors from the initial set of risk factors via a linear regression of each illiquid risk factor on the space of liquid risks as represented by the core set of liquid risk factors; storing, by the computer system, a liquidity time horizon for each illiquid risk factor; calculating by the computer system a profit and loss (P&L) distribution for the portfolio for a time interval [0,1 day]; calculating by the computer system one or more P&L distributions for the portfolio for the time intervals day], wherein x combining by the computer system the P&L distributions for the [0,1] time interval and the one or more (x calculating by the computer system the x wherein the computer system comprises at least one computer device, wherein the computer device comprises at least one processor circuit and at least one memory circuit.