Patent ID: 8548884

Claim:
A non-transitory computer readable storage medium having computer-executable instructions recorded thereon that, when executed on a computer, configure the computer to perform a method comprising: receiving data describing one or more risk factors associated with volatility of each of a first plurality of securities in a first portfolio; for each of said first plurality of securities: categorizing each of the one or more risk factors as a random variable and determining a fat-tailed t-distribution that best fits data regarding historical behavior of each of the one or more risk factors; and generating a first return distribution based on said best fit fat-tailed t-distribution; and aggregating the first return distribution for each of said first plurality of securities to generate an aggregated security return distribution for said first portfolio; wherein generating said first return distribution for each of the first plurality of securities, comprises: (a) sampling a value from each of the one or more risk factor's best fit fat-tailed t-distribution; (b) conducting a simulation based on a scenario defined by said sampled values; (c) incorporating data regarding a correlation among each of the one or more risk factors; (d) multiplying the sampled value from each of the one or more risk factor's best fit fat-tailed distribution by a risk factor exposure corresponding to each of the one or more risk factors to obtain a risk factor product for each of the one or more risk factors; and (e) summing the risk factor product for each of the one or more risk factors to generate the return distribution.