Path-Dependent Market Risk Observer

摘要

A computerized method is presented for observing the market risk of a portfolio, which includes application of path-dependent analysis to market data and providing risk observations capturing salient characteristics of risk experienced by investors. Advantages of one or more embodiments include support for accurate estimation of probabilities associated with large losses and expected losses at given probabilities. The method is adaptable to all risk estimation functions and is compatible with nonhomogeneous data.

主权项

1. A method implemented by a computer for observing market risk, comprising:
a. accessing, with said computer, market data of a portfolio over an analysis time interval; b. generating a set of market risk observations by evaluating a path-dependent observation function over said market data; and c. providing, with the computer, said set of market risk observations; d. wherein said path-dependent observation function calculates market risk within said analysis time interval; and e. wherein the computer comprises a non-transitory, computer-readable storage medium having computer-executable instructions recorded thereon that, when executed on the computer, configure the computer to perform said method.