Patent Document ID: 20130031025
Application ID: 13571197
Patent Flag: 0

Claim One:
1. A method for estimating an expected value of a financial contract, the method comprising: receiving observable market data; calibrating one or more financial models using the market data to obtain estimates for one or more model parameters corresponding to each of the one or more financial models; generating a set of model risk metrics, the set of model risk metrics comprising: for each of the one or more financial models, one or more corresponding financial model partial derivative functions representing a rate of change of the financial model with respect to each of its corresponding model parameters; and for each of the model parameters, one or more corresponding model parameter partial derivative functions representing a rate of change of the model parameter with respect to each of the market data, parsing the contract into a set of contract valuation functions, the set of contract valuation functions depending, at least in part, on a subset of the model parameter estimates and the set of contract valuation functions including an ultimate contract valuation function representative of the value of the contract; generating a set of contract valuation risk functions corresponding to the set of contract valuation functions, each of the set of contract valuation risk functions comprising one or more partial derivatives of a corresponding contract valuation function with respect to all inputs to the corresponding contract valuation function; estimating an expected value for the contract, the expected value for the contract comprising an expected value for the ultimate contract valuation function; and estimating one or more expected values for risk of the contract, each expected value for the risk of the contract comprising an expected value for one of the contract valuation risk functions corresponding to the ultimate contract valuation function.