System and method for determining value at risk of a financial p

Details System and method for determining value at risk of a financial p System and method for determining value at risk of a financial p

1998-07-02

2000-07-04

Stamber, Eric W.

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

Automated electrical financial or business practice or...

Finance

G06F 1760

Patent

active

060851759

ABSTRACT:
The present invention provides a system and method for accurately estimating value-at-risk (VAR) of a financial portfolio. The present invention analyzes a distribution of sorted financial data samples to determine an accurate range of upper and lower limits of an expected value of VAR so that an analyst or another financial analysis system may select an appropriate VAR value from the range presented.

REFERENCES:
Chahal, Mandeep S. & Jun Wang. "Jump Diffusion Processes and Emerging Bond and Stock Markets: An Investigation Using Daily Data". Multinational Finance Journal: Camden, pp. 169-197, Sep. 1997.

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