Risk management system and method providing rule-based...

Details Risk management system and method providing rule-based... Risk management system and method providing rule-based...

2008-07-01

2008-07-01

Abdi, Kambiz (Department: 3692)

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

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000

Reexamination Certificate

active

07395236

ABSTRACT:
A risk management system and method provides for the establishment of dynamic portfolios, whose evolution over time is defined by one or more rules. Each dynamic portfolio can have instruments added and removed over time in accordance with Trade Managers as a result of evaluation of the user-defined rules which can be dependent upon various attributes, including time, portfolio contents, risk factor values, risk values and other information. Such dynamic portfolios can be used to analyze risk associated with settlement, liquidity and/or collateral management issues, to name a few. Also, a user can define multiple candidate trading strategies, each implemented in one or more Trade Managers, and the user can then analyze the effectiveness of the candidate strategies, before adopting one.

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