System, method and framework for generating scenarios

Details System, method and framework for generating scenarios System, method and framework for generating scenarios

2002-04-12

2009-10-06

Shah, Kamini S (Department: 2128)

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

Automated electrical financial or business practice or...

Finance

C705S014270, C705S035000, C705S038000, C703S002000

Reexamination Certificate

active

07599870

ABSTRACT:
System, method and framework for generating scenarios used in risk management applications. The present invention is based on a generic framework that provides levels of abstraction, segregates risk factors and models, and structures a scenario generation process. In one aspect of the present invention, there is provided a framework for scenario generation for use in a risk management application, where the framework defines a plurality of components associated with a scenario set, where each component is represented by at least one of a set of data structures, and where the set of data structures comprises: at least one first data structure defining a group of risk factors with similar statistical properties; at least one second data structure defining the future distribution or evolutionary process of a risk factor in the group of risk factors; a third data structure defining a calibrated model for generating scenarios, where relationships between risk factors of the group of risk factors are defined therein, and where the calibrated model associates each second data structure with a first data structure; and a fourth data structure specifying how the first, second, and third data structures are to apply to a user-specified risk management problem.

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