Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2008-06-24
2009-12-01
Cheung, Mary (Department: 3694)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07627511
ABSTRACT:
The risk measures of a portfolio are calculated with speed. Concerning a loss for each of the sectors to which the companies constituting the portfolio belong, the Laplace transform of a conditional probability distribution in which factors affecting management indexes are respective values is calculated in advance and stored in a storage unit as data. The stored data is retrieved as an approximate value and used when a numerical calculation of an integral is performed, to perform the integration. Consequently, as it becomes possible to quickly calculate the Laplace transform of a density function and a distribution function, it is possible to calculate the density function and the distribution function by Laplace inversion and calculate the risk measures of the portfolio.
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Hashiba Jiro
Takano Yasushi
Buchanan & Ingersoll & Rooney PC
Cheung Mary
Mizuho-DL Financial Technology Co., Ltd.
Nguyen Tien C
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