发明申请
US20120066151A1 Factor Risk Model Based System, Method, And Computer Program Product For Generating Risk Forecasts
审中-公开
基于风险模型的系统，方法和计算机程序产品用于生成风险预测
- 专利标题： Factor Risk Model Based System, Method, And Computer Program Product For Generating Risk Forecasts
- 专利标题（中）： 基于风险模型的系统，方法和计算机程序产品用于生成风险预测
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申请号： US13230528申请日： 2011-09-12
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公开(公告)号： US20120066151A1公开(公告)日： 2012-03-15
- 发明人: Ananth Madhavan , Artem V. Asriev , Scott J. Kartinen , Jian Yang , Vitaly Serbin , Ian Domowitz , Kenneth E. Gosier
- 申请人： Ananth Madhavan , Artem V. Asriev , Scott J. Kartinen , Jian Yang , Vitaly Serbin , Ian Domowitz , Kenneth E. Gosier
- 申请人地址： US CA Culver City
- 专利权人： ITG SOFTWARE SOLUTIONS, INC.
- 当前专利权人： ITG SOFTWARE SOLUTIONS, INC.
- 当前专利权人地址： US CA Culver City
- 主分类号： G06Q40/06
- IPC分类号： G06Q40/06
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.
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