Patent Document ID: 20130080310
Application ID: 13503696
Patent Flag: 0

Claim One:
1. A computer-implemented method for computing a factor risk model whose assets or underlying assets are traded in more than one market whose hours of trading are not the same, comprising: a memory for storing data for the markets and assets to be included in the factor risk model; selecting a market as the market for which the factor risk model will be synchronized utilizing a data entry device; computing unadjusted daily returns for all assets to be in the factor risk model where the unadjusted daily returns are synchronized to the market on which the asset trades utilizing a programmed processor cooperating with memory and with software; estimating a model of forecast, market returns that synchronizes unadjusted daily asset returns to the selected risk model synchronization market utilizing the programmed processor cooperating with memory and with software; computing a synchronized factor-factor covariance matrix utilizing the unadjusted daily asset returns and the model of forecast market returns utilizing the programmed processor cooperating with memory and with software; computing all other elements of the factor risk model utilizing the programmed processor cooperating with memory and with software; outputting the factor risk model with the synchronized factor-factor covariance matrix utilizing an output device.