| 摘要 |
<p>A system, method, and computer program product for modeling a risk are provided. An equalizer and an equalizer backend model portfolio risk based on a scenario generated by the equalizer. A scenario includes an active factor, a passive factor, and a change in an active factor level. To model portfolio risk, the equalizer backend uses two-tiered regression analysis. In the first regression, the equalizer backend regresses the passive factor against the active factor and determines changes in a passive factor level. In the second regression, the equalizer backend regresses the changes in the passive and active factor levels against positions in the portfolio that models portfolio risk. The equalizer displays the modeled portfolio risk.</p> |
