Risk management system and method for determining risk characteristics explaining heavy tails of risk factors
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United States of America Patent
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Aug 17, 2010
Grant Date -
N/A
app pub date -
Jan 10, 2003
filing date -
Jan 11, 2002
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Abstract
A risk management system and method of determining risk characteristics of portfolios by generating risk factor scenarios based on stable Paretian distributions is provided. The system includes a database for storing any needed input, output, and intermediate results data. At least one module from each of the predefined types can be employed to produce a corresponding result—either intermediate or final. The risk management system and method provide possibilities to use flexible multivariate distribution exhibiting heavy-tails, skewness and different dependence structure, and characterizing the whole distribution of a given financial variable, allows users to perform flexible stress tests on all calculation levels, supplies fast analysis due to the possibility to use intermediate results in many subsequent calculations and to employ several calculation modules in parallel, allows for an efficient enterprise-wide risk management because of the possibility intermediate results to be used by many users.
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