Patent ID: 7647263

Claim:
A computerized data processing system including a computer for performing risk analysis of a portfolio, the system comprising: a modeling and calibration unit implemented on the computer, configured to describe d risk factors as random variables X 1 to X d , the random variables being related to each other by a correlation matrix ρ, to form m groups of the random variables X 1 to X d , to describe the random variables X 1 to X d as a d-dimensional random vector X, forming m subvectors, each subvector including one group of the random variables X 1 to X d , and to describe dependencies of the risk factors as the implicit copula of a d-dimensional random vector Y, the random vector Y including m subvectors Y k (k=1 to m, m≠1, d, m, and k are natural positive numbers), each subvector Y k has a t-distribution with a parameter ν k describing a degree of freedom, and a copula of each subvector Y k is a t-copula; an input unit implemented on the computer, configured to enter or choose calibration data to obtain, by using the modeling and calibration unit, values for the ν k describing the degree of freedom for each of the m subvectors Y k separately and to obtain values for a correlation matrix ρ for the random variables X 1 to X d , to enter or choose at least one risk mapping function L(X), and to enter portfolio data of the portfolio to be analyzed; a simulation unit implemented on the computer, configured to simulating realization of the d risk factors by using the correlation matrix ρ, the parameters ν k describing the degrees of freedom, the at least one risk mapping function L(X), and portfolio data of the portfolio; and an output unit implemented on the computer, configured to generate output data resulting form the simulation unit in a form of at least one of a risk measure or a price.