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:
Jan. 15, 2013
Filed:
Jan. 18, 2011
Applicants:
Soumyadip Ghosh, Peekskill, NY (US);
Pu Huang, Yorktown Heights, NY (US);
Dharmashankar Subramanian, Stamford, CT (US);
Jie Xu, Buffalo Grove, IL (US);
Inventors:
Soumyadip Ghosh, Peekskill, NY (US);
Pu Huang, Yorktown Heights, NY (US);
Dharmashankar Subramanian, Stamford, CT (US);
Jie Xu, Buffalo Grove, IL (US);
Assignee:
International Business Machines Corporation, Armonk, NY (US);
Primary Examiner:
Int. Cl.
CPC ...
G06Q 40/00 (2012.01);
U.S. Cl.
CPC ...
Abstract
A method, system and computer program product for measuring a risk of an asset portfolio. The system estimates a β-level CVaR (Conditional Value-at-Risk) of the asset portfolio by modeling interdependencies between assets in the asset portfolio. The modeling is based on Gaussian copula model.