The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Oct. 11, 2011
Filed:
Jan. 21, 2011
Ben DE Prisco, Woodbridge, CA;
Ian Iscoe, Mississauga, CA;
Yijun Jiang, Toronto, CA;
Helmut Mausser, Toronto, CA;
Ben De Prisco, Woodbridge, CA;
Ian Iscoe, Mississauga, CA;
Yijun Jiang, Toronto, CA;
Helmut Mausser, Toronto, CA;
Algorithmics Software LLC, Wilmington, DE (US);
Abstract
Systems and methods for generating an integrated market and credit loss distribution for the purpose of calculating one or more risk measures associated with a portfolio of instruments are disclosed. In at least one embodiment, compound risk factor sampling is performed that comprises conditionally generating multiple systemic credit driver samples for each market risk factor sample generated per time step of a simulation. There are also disclosed systems and methods for determining an optimal number of sample values for each of the market risk factors, systemic credit drivers, and optionally, idiosyncratic credit risk factors that would be required in order to obtain an acceptable amount of variability in the calculated risk estimates and/or to satisfy an available computational budget.