System and method for estimating portfolio risk using an infinitely divisible distribution

摘要

A system and method for estimating portfolio risk using an infinitely divisible distribution is provided. A time series comprising a plurality of risk factors applicable over at least one time horizon, a portfolio comprising a plurality of financial assets, and one or more risk adjusted return points for the financial assets are stored. The financial assets are associated with the risk factors. The parameters of one or more risk factors such as financial returns series are estimated based on an infinitely divisible tempered stable distribution model exhibiting leptokurtic behavior. Scenarios are generated for the model. One of Value at Risk, Average Value at Risk, and their derivatives are then determined.