Factor Risk Model Based System, Method, And Computer Program Product For Generating Risk Forecasts
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United States of America Patent
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Issued Date -
Mar 15, 2012
app pub date -
Sep 12, 2011
filing date -
Oct 17, 2002
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.
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