Patent Document ID: 8301537
Application ID: 13032600
Patent Status: 1

Claim One:
1. A computer-implemented system for estimating portfolio risk using an infinitely divisible distribution, comprising: a memory containing a database configured to store a time series comprising a plurality of risk factors applicable over at least one time horizon, a portfolio comprising a plurality of financial assets, and one or more risk adjusted return points for the financial assets; an input device to receive input from a user; a network operatively coupled and providing communication between the memory, the input device, an output device, and a processor; where the processor is programmed to execute program modules, the program modules comprising: an association module configured to associate the financial assets with the risk factors; a parameter estimation module configured to estimate the parameters of one or more risk factors through an infinitely divisible tempered stable distribution model exhibiting leptokurtic behavior having the measure v(dx) defined in polar coordinate according to 
 v ( dx )= M ( dr,du )= r −α−1 q ( r,u ) dr ζ ( du ), where q(r,u) is a positive function on (0,∞)×S d−1 such that lim r→0 +q(r,u)>0 and lim r→∞ q(r,u)=0 and where q(r,1)=e −λ + 2 r 2 /2 , q(r,−1)=e −λ − 2 r 2 /2 , and ζ(1)=C + , ζ(−1)=C − , wherein C + , C − , λ + , λ − >0; a scenario generation module to generate scenarios for the model; an application module to determine at least one of value at risk, average value at risk, option price, and portfolio optimization from the estimated parameters and the generated scenarios; and an application module to determine output comprising at least one of value at risk, average value at risk, option price, and portfolio optimization from the estimated parameters and the generated scenarios; an output device configured to provide the output generated in the application module to the user.