Method and apparatus for creating consistent risk forecasts...

Details Method and apparatus for creating consistent risk forecasts... Method and apparatus for creating consistent risk forecasts...

2008-01-29

2008-01-29

Vincent, David (Department: 2121)

Data processing: artificial intelligence

Neural network

Learning task

C705S038000

Reexamination Certificate

active

10480020

ABSTRACT:
An invention forcing an aggregate risk model to be consistent with standalone models is provided. A revising transformation parameterized over and an objective function minimized over, the orthogonal group are provided, least changing cross blocks of covariance matrices, preserving information in original cross block correlations, consistent with a prescribed revised sub-block.

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