Invention Grant
US08170941B1 System and method for generating random vectors for estimating portfolio risk
有权
用于生成用于估计投资组合风险的随机向量的系统和方法
- Patent Title: System and method for generating random vectors for estimating portfolio risk
- Patent Title (中): 用于生成用于估计投资组合风险的随机向量的系统和方法
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Application No.: US12580911Application Date: 2009-10-16
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Publication No.: US08170941B1Publication Date: 2012-05-01
- Inventor: Svetlozar Todorov Rachev , Stoyan Veselinov Stoyanov , Gennady Samorodnitsky , Georgi Kostov Mitoy
- Applicant: Svetlozar Todorov Rachev , Stoyan Veselinov Stoyanov , Gennady Samorodnitsky , Georgi Kostov Mitoy
- Applicant Address: US WA Seattle
- Assignee: FinAnalytica, Inc.
- Current Assignee: FinAnalytica, Inc.
- Current Assignee Address: US WA Seattle
- Agent Patrick J. S. Inouye
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
A system and computer-implemented method for generating random vectors for estimating portfolio risk is provided. Historical financial variable data of financial assets is stored in a memory. Parameters of a copula are estimated. Random vectors are generated from the copula. Risk for the financial assets is calculated based on the random vectors.
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