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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Bibliographische Detailangaben

Hauptverfasser:	DE PRISCO BEN, JIANG YIJUN, MAUSSER HELMUT, ISCOE IAN
Format:	Patent
Sprache:	eng
Schlagworte:	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
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