发明名称 |
Factor Risk Model Based System, Method, And Computer Program Product For Generating Risk Forecasts |
摘要 |
A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities. |
申请公布号 |
US2012066151(A1) |
申请公布日期 |
2012.03.15 |
申请号 |
US201113230528 |
申请日期 |
2011.09.12 |
申请人 |
MADHAVAN ANANTH;ASRIEV ARTEM V.;KARTINEN SCOTT J.;YANG JIAN;SERBIN VITALY;DOMOWITZ IAN;GOSIER KENNETH E.;ITG SOFTWARE SOLUTIONS, INC. |
发明人 |
MADHAVAN ANANTH;ASRIEV ARTEM V.;KARTINEN SCOTT J.;YANG JIAN;SERBIN VITALY;DOMOWITZ IAN;GOSIER KENNETH E. |
分类号 |
G06Q40/06;G06Q40/00 |
主分类号 |
G06Q40/06 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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