Invention Grant
- Patent Title: Fast and accurate method for estimating portfolio CVaR risk
- Patent Title (中): 用于估计投资组合CVaR风险的快速准确的方法
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Application No.: US13008123Application Date: 2011-01-18
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Publication No.: US08355976B2Publication Date: 2013-01-15
- Inventor: Soumyadip Ghosh , Pu Huang , Dharmashankar Subramanian , Jie Xu
- Applicant: Soumyadip Ghosh , Pu Huang , Dharmashankar Subramanian , Jie Xu
- Applicant Address: US NY Armonk
- Assignee: International Business Machines Corporation
- Current Assignee: International Business Machines Corporation
- Current Assignee Address: US NY Armonk
- Agency: Scully, Scott, Murphy & Presser, P.C.
- Agent Daniel P. Morris, Esq.
- Main IPC: G06Q40/00
- IPC: G06Q40/00
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.
Public/Granted literature
- US20120185406A1 FAST AND ACCURATE METHOD FOR ESTIMATING PORTFOLIO CVaR RISK Public/Granted day:2012-07-19
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