Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2011-01-21
2011-10-11
Kramer, James A (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000, C705S037000, C705S038000
Reexamination Certificate
active
08036975
ABSTRACT:
Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget.
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De Prisco Ben
Iscoe Ian
Jiang Yijun
Mausser Helmut
Algorithmics Software LLC
Bereskin & Parr LLP / S.E.N.C.R.L., s.r.l.
Fu Hao
Kramer James A
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