Patent ID: 8355976

Claim:
A method for measuring a risk of a portfolio including n number of assets, the method comprising: estimating, by a computing system, a β-level CVaR (Conditional Value-at-Risk) of the portfolio by calculating CVaR β ⁡ ( L ) = ( ∑ j = S J ⁢ w ( j ) ⁢ a T ⁢ Y j ) / ( ∑ j = S J ⁢ w ( j ) ) , where β is a real number between 0 and 1, L is a total portfolio loss, j is an index, J is an integer representing a specific number of sample points, S is a largest integer between 1 and J such that a sum of w (j) from S and J is larger than J(1−β), where w (j) is a likelihood ratio of a j-th smallest empirical loss, a T Y j is an empirical loss.