Systems and methods for compound risk factor sampling with integrated market and credit risk
Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally...
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| creator | DE PRISCO BEN JIANG YIJUN MAUSSER HELMUT ISCOE IAN |
| description | Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget. |
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In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget.</description><language>eng</language><subject>CALCULATING ; COMPUTING ; COUNTING ; DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES ; PHYSICS ; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</subject><creationdate>2011</creationdate><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://worldwide.espacenet.com/publicationDetails/biblio?FT=D&date=20111011&DB=EPODOC&CC=US&NR=8036974B2$$EHTML$$P50$$Gepo$$Hfree_for_read</linktohtml><link.rule.ids>230,308,776,881,25542,76289</link.rule.ids><linktorsrc>$$Uhttps://worldwide.espacenet.com/publicationDetails/biblio?FT=D&date=20111011&DB=EPODOC&CC=US&NR=8036974B2$$EView_record_in_European_Patent_Office$$FView_record_in_$$GEuropean_Patent_Office$$Hfree_for_read</linktorsrc></links><search><creatorcontrib>DE PRISCO BEN</creatorcontrib><creatorcontrib>JIANG YIJUN</creatorcontrib><creatorcontrib>MAUSSER HELMUT</creatorcontrib><creatorcontrib>ISCOE IAN</creatorcontrib><title>Systems and methods for compound risk factor sampling with integrated market and credit risk</title><description>Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget.</description><subject>CALCULATING</subject><subject>COMPUTING</subject><subject>COUNTING</subject><subject>DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES</subject><subject>PHYSICS</subject><subject>SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</subject><fulltext>true</fulltext><rsrctype>patent</rsrctype><creationdate>2011</creationdate><recordtype>patent</recordtype><sourceid>EVB</sourceid><recordid>eNqNjE0KwjAQRrNxIeod5gKCWFG7VRT31Z1QhmTShjY_ZEbE2xuKB3D1weN7b66ezYeFPAMGA56kj4bBxgw6-hRfBWbHA1jUUiCjT6MLHbyd9OCCUJdRqJiYB5IpojMZJ5O2VDOLI9PqtwsF18v9fFtTii1xQk2BpH00x021rw-707b64_IFask76w</recordid><startdate>20111011</startdate><enddate>20111011</enddate><creator>DE PRISCO BEN</creator><creator>JIANG YIJUN</creator><creator>MAUSSER HELMUT</creator><creator>ISCOE IAN</creator><scope>EVB</scope></search><sort><creationdate>20111011</creationdate><title>Systems and methods for compound risk factor sampling with integrated market and credit risk</title><author>DE PRISCO BEN ; JIANG YIJUN ; MAUSSER HELMUT ; ISCOE IAN</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-epo_espacenet_US8036974B23</frbrgroupid><rsrctype>patents</rsrctype><prefilter>patents</prefilter><language>eng</language><creationdate>2011</creationdate><topic>CALCULATING</topic><topic>COMPUTING</topic><topic>COUNTING</topic><topic>DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES</topic><topic>PHYSICS</topic><topic>SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR</topic><toplevel>online_resources</toplevel><creatorcontrib>DE PRISCO BEN</creatorcontrib><creatorcontrib>JIANG YIJUN</creatorcontrib><creatorcontrib>MAUSSER HELMUT</creatorcontrib><creatorcontrib>ISCOE IAN</creatorcontrib><collection>esp@cenet</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>DE PRISCO BEN</au><au>JIANG YIJUN</au><au>MAUSSER HELMUT</au><au>ISCOE IAN</au><format>patent</format><genre>patent</genre><ristype>GEN</ristype><title>Systems and methods for compound risk factor sampling with integrated market and credit risk</title><date>2011-10-11</date><risdate>2011</risdate><abstract>Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget.</abstract><oa>free_for_read</oa></addata></record> |
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| subjects | CALCULATING COMPUTING COUNTING DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES PHYSICS SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR |
| title | Systems and methods for compound risk factor sampling with integrated market and credit risk |
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