Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2007-06-05
2007-06-05
Colbert, Ella (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000
Reexamination Certificate
active
09896660
ABSTRACT:
An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
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Browne Sid
Maghakian Arthur
Apple Kirsten
Chadbourne & Parke LLP
Colbert Ella
Goldman Sachs & Co.
Hanchuk Walter G.
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