Systems and methods for valuating financial contracts and assessing associated risk

摘要

Systems and methods valuate financial contracts and assess associated risk. Particular embodiments comprise: calibrating parameters of models based on market data; determining a metric for the risk of the models to changes in the parameters; determining a metric for the risk of the parameters to changes in the market data; generating a set of valuation functions corresponding to the contract and depending on the calibrated parameters of the models; generating a corresponding set of derivatives of the valuation functions, the derivatives depending on the metric for the risk of the parameters to changes in the market data; determining a value for the contract to comprise an expected value of one of the valuation functions; and assessing a risk of the value of the contract to one or more variables by determining an expected value of one or more of the set of derivatives of the valuation functions.