Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2011-01-11
2011-01-11
Campen, Kelly (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S038000
Reexamination Certificate
active
07870052
ABSTRACT:
A computer system, which may comprise a processor, a memory and a database, may implement a loss surface determining software module that forecasts a portfolio's loss surface. Daily loss histories may be collected from actual data or may be generated using a factor model. A model may generate a sequence of iid high frequency loss innovations that can be temporally aggregated with a Fourier transform. For each portfolio, the loss surface may be forecasted and 95% and 99% value-at-risk and expected shortfall forecasts may be derived for various time horizons.
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Goldberg Lisa R.
Miller Guy
Weinstein Jared
Campen Kelly
K&L Gates LLP
Morgan Stanley Capital International, Inc.
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