Algorithmics International Corp.

Algorithmics Software LLC

Glo Software LLC

International Business Machines Corporation

Dan Rosen

Leonid Merkoulovitch

Diane Reynolds

Yaacov Mutnikas

Alexander Yacov Kreinin

Ron Samuel Dembo

Lawrence R Forest, Jr

David Syer

Steve Suchower

Scott Aguais

Barry Belkin

Victoria Farber

System, method and framework for generating scenarios used in risk management applications. The present invention is based on a generic framework that provides levels of abstraction, segregates risk factors and models, and structures a scenario generation process. In one aspect of the present invention, there is provided a framework for scenario generation for use in a risk management application, where the framework defines a plurality of components associated with a scenario set, where each component is represented by at least one of a set of data structures, and where the set of data structures comprises: at least one first data structure defining a group of risk factors with similar statistical properties; at least one second data structure defining the future distribution or evolutionary process of a risk factor in the group of risk factors; a third data structure defining a calibrated model for generating scenarios, where relationships between risk factors of the group of risk factors are defined therein, and where the calibrated model associates each second data structure with a first data structure; and a fourth data structure specifying how the first, second, and third data structures are to apply to a user-specified risk management problem.

System, method and framework for generating scenarios

According to one aspect of the invention, there is provided a method of modeling operational risk comprising the steps of: defining one or more reporting hierarchies, wherein said reporting hierarchies are composed of operational units; associating operational risk data to one or more of said operational units, wherein said operational risk data includes data associated with a plurality of first loss events; and calibrating a plurality of loss processes and a plurality of loss process attributes using said plurality of first loss events, wherein a plurality of loss processes are generated for use in at least one of risk management, operations management, and financial management.

System and method for measuring and managing operational risk

The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models. In one aspect of the present invention, the system comprises a database for storing credit instrument data, a first calibration engine for generating calibration parameters from the credit instrument data, a second pricing engine adapted to calculate the net present values and valuation metrics for the credit instruments by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of the credit instruments, a third engine for performing simulation-based computations, a fourth risk engine for computing risk and reward metrics, and a report generator for generating reports for use in managing risk.

System and methods for valuing and managing the risk of credit instrument portfolios

The present invention is directed to a generic, object-oriented library of generators and operations on generators. The library of generators and other objects provides a set of reusable components that can be used in the development of other components required for new risk management generation models. Using basic simple objects predefined in the library and the operations on these objects, complicated objects required for a new risk management generation models may be built more efficiently and easily. In one aspect of the present invention, there is provided a generator for use in developing risk management software, where the generator produces elements of a sequence governed by a sequential process, where the generator comprises a common generator interface, and where the common generator interface comprises a first function that generates the next element of the sequence, and a second function that returns the element most recently generated by the first function, and where the generator can participate with at least one other operand in an expression to produce a second generator.

Generator libraries

A computer-implemented method for compressing a portfolio of financial instruments is described. Financial instruments to be compressed are identified, and a compressed subportfolio corresponding to the identified financial instruments is generated. The compressed subportfolio and any non-compressed financial instruments are then combined into a compressed portfolio.

Computer-implemented method and apparatus for portfolio compression

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Toronto, Canada

Dan Rosen