RISK SCENARIO GENERATION
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United States of America Patent
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app pub date -
Jun 18, 2014
filing date -
Nov 15, 2013
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
Techniques are described for processing scenario sets. In one example, a method comprises determining, by at least one computer processor, a computation graph, wherein the computation graph comprises at least one of: a random increment generator, a transformation matrix, a group of scenario indices, and calibrated model parameters; and distributing, by the at least one computer processor, the computation graph to one or more computation nodes, wherein each computation node of the one or more computation nodes is configured to generate scenario data specific to the respective computation node based on the computation graph, and wherein each computation node of the one or more computation nodes is configured to use the respective scenario data to measure risk in a financial system.
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