Performance risk management system

Details Performance risk management system Performance risk management system

2007-06-29

2010-10-26

Patel, Jagdish N (Department: 3693)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000

Reexamination Certificate

active

07822670

ABSTRACT:
The embodiments of this invention relate to methods for developing risked budgetary performance estimates by analyzing commodity price risk(s) utilizing cash-flow-at-risk assessments in combination with Monte Carlo simulations. This automated method for risk analysis, includes modeling assets of a portfolio as derivatives; collecting pricing data and volatility surfaces related to the derivatives; calculating and scaling simulated cash-flow-at-risk (CFAR) values to generate a risk profile; and evaluating the risk profile to determine if the risk profile meets predetermined risk characteristics or requires modification.

REFERENCES:
patent: 6173276 (2001-01-01), Kant et al.
patent: 7542939 (2009-06-01), Ferguson et al.
patent: 2002/0198811 (2002-12-01), Wizon et al.
patent: 2003/0093351 (2003-05-01), Sarabanchong
Barnett M.W.; Modeling and Simulation in Business Process Management; A publication of Gensym Corp., 2003.

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