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AU2001246268A1 - Method and device for calculating value at risk - Google Patents

Method and device for calculating value at risk

Info

Publication number
AU2001246268A1
AU2001246268A1AU2001246268AAU4626801AAU2001246268A1AU 2001246268 A1AU2001246268 A1AU 2001246268A1AU 2001246268 AAU2001246268 AAU 2001246268AAU 4626801 AAU4626801 AAU 4626801AAU 2001246268 A1AU2001246268 A1AU 2001246268A1
Authority
AU
Australia
Prior art keywords
risk
calculating value
calculating
value
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Abandoned
Application number
AU2001246268A
Inventor
Andrey Feuerverger
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Individual
Original Assignee
Individual
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by IndividualfiledCriticalIndividual
Publication of AU2001246268A1publicationCriticalpatent/AU2001246268A1/en
Abandonedlegal-statusCriticalCurrent

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Classifications

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AU2001246268A2000-03-282001-03-28Method and device for calculating value at riskAbandonedAU2001246268A1 (en)

Applications Claiming Priority (5)

Application NumberPriority DateFiling DateTitle
US19256400P2000-03-282000-03-28
US601925642000-03-28
US24487500P2000-11-022000-11-02
US602448752000-11-02
PCT/CA2001/000418WO2001077911A2 (en)2000-03-282001-03-28Method and device for calculating value at risk

Publications (1)

Publication NumberPublication Date
AU2001246268A1true AU2001246268A1 (en)2001-10-23

Family

ID=26888186

Family Applications (1)

Application NumberTitlePriority DateFiling Date
AU2001246268AAbandonedAU2001246268A1 (en)2000-03-282001-03-28Method and device for calculating value at risk

Country Status (3)

CountryLink
US (1)US20030139993A1 (en)
AU (1)AU2001246268A1 (en)
WO (1)WO2001077911A2 (en)

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US7099838B1 (en)*2000-03-272006-08-29American Stock Exchange, LlcHedging exchange traded mutual funds or other portfolio basket products
US10929927B2 (en)2000-03-272021-02-23Nyse American LlcExchange trading of mutual funds or other portfolio basket products
GB0206440D0 (en)*2002-03-182002-05-01Global Financial Solutions LtdSystem for pricing financial instruments
US20150348195A1 (en)2000-03-272015-12-03Nyse Mkt LlcSystems and methods for trading actively managed funds
US8170935B2 (en)2000-03-272012-05-01Nyse Amex LlcSystems and methods for evaluating the integrity of a model portfolio of a financial instrument
US8301535B1 (en)2000-09-292012-10-30Power Financial Group, Inc.System and method for analyzing and searching financial instrument data
EP1199653A1 (en)*2000-10-182002-04-24Abb Research Ltd.System and method for automatic determination of an overall risk measure based on several independent risk factors
US7024388B2 (en)*2001-06-292006-04-04Barra Inc.Method and apparatus for an integrative model of multiple asset classes
GB2377040A (en)*2001-06-252002-12-31Secr DefenceFinancial portfolio risk management
US7979336B2 (en)*2002-03-182011-07-12Nyse Amex LlcSystem for pricing financial instruments
US7797215B1 (en)2002-06-262010-09-14Power Financial Group, Inc.System and method for analyzing and searching financial instrument data
US20040186804A1 (en)*2003-03-192004-09-23Anindya ChakrabortyMethods and systems for analytical-based multifactor multiobjective portfolio risk optimization
US7640201B2 (en)*2003-03-192009-12-29General Electric CompanyMethods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
US7593880B2 (en)*2003-03-192009-09-22General Electric CompanyMethods and systems for analytical-based multifactor multiobjective portfolio risk optimization
NZ530377A (en)*2003-12-242006-10-27John RedmayneSystem and method for modelling pricing of securities such as expected risk, rate of return and default loss
US8219477B2 (en)*2004-02-202012-07-10General Electric CompanySystems and methods for multi-objective portfolio analysis using pareto sorting evolutionary algorithms
US7469228B2 (en)*2004-02-202008-12-23General Electric CompanySystems and methods for efficient frontier supplementation in multi-objective portfolio analysis
US7630928B2 (en)*2004-02-202009-12-08General Electric CompanySystems and methods for multi-objective portfolio analysis and decision-making using visualization techniques
US7542932B2 (en)*2004-02-202009-06-02General Electric CompanySystems and methods for multi-objective portfolio optimization
US8126795B2 (en)*2004-02-202012-02-28General Electric CompanySystems and methods for initial sampling in multi-objective portfolio analysis
WO2006089588A1 (en)*2005-02-242006-08-31Swiss Reinsurance CompanyAutomated risk monitoring method and system
US7685063B2 (en)*2005-03-252010-03-23The Crawford Group, Inc.Client-server architecture for managing customer vehicle leasing
US20060253360A1 (en)*2005-04-222006-11-09Lehman Brothers Inc.Methods and systems for replicating an index with liquid instruments
US20060253368A1 (en)*2005-05-042006-11-09Chicago Board Options ExchangeSystem and method for creating and trading credit rating derivative investment instruments
US8027904B2 (en)*2005-05-042011-09-27Chicago Board Options Exchange, IncorporatedMethod and system for creating and trading corporate debt security derivative investment instruments
US8326722B2 (en)*2005-08-082012-12-04Warp 11 Holdings, LlcEstimating risk of a portfolio of financial investments
US8126746B2 (en)*2006-03-022012-02-28Hartford Fire Insurance CompanySystem and method for processing and administering flexible guaranteed income payments
US7805329B2 (en)*2006-03-022010-09-28Siemens AktiengesellschaftDevelopment of actual risk costs based on estimated risk costs as well as probabilistic restriction of the actual risk costs
US8744893B2 (en)*2006-04-112014-06-03Siemens AktiengesellschaftMethod for analyzing risks in a technical project
US20070288397A1 (en)*2006-06-122007-12-13Nec Europe Ltd.Methodology for robust portfolio evaluation and optimization taking account of estimation errors
US8200569B1 (en)2006-06-222012-06-12Power Financial Group, Inc.Option search criteria testing
US8548884B2 (en)*2007-10-242013-10-01Barclays Capital Inc.Systems and methods for portfolio analysis
US8234201B1 (en)*2008-08-012012-07-31Morgan StanleySystem and method for determining a liquidity-adjusted value at risk (LA-VaR)
JP5610234B2 (en)*2009-09-252014-10-22日本電気株式会社 Loss distribution calculation system, loss distribution calculation method, and loss distribution calculation program
US8355976B2 (en)*2011-01-182013-01-15International Business Machines CorporationFast and accurate method for estimating portfolio CVaR risk
US10664914B2 (en)*2014-07-212020-05-26American International Group, Inc.Portfolio optimization and evaluation tool
US20160098795A1 (en)*2014-10-022016-04-07Mehmet Alpay KayaPath-Dependent Market Risk Observer
US10755214B2 (en)*2016-04-202020-08-25Aspen Technology, Inc.Robust feedstock selection system for the chemical process industries under market and operational uncertainty
US10931702B2 (en)*2018-04-242021-02-23Cyberfortress, Inc.Vulnerability profiling based on time series analysis of data streams
US20200027105A1 (en)*2018-07-202020-01-23Jpmorgan Chase Bank, N.A.Systems and methods for value at risk anomaly detection using a hybrid of deep learning and time series models
US11663546B2 (en)2020-04-222023-05-30Aspentech CorporationAutomated evaluation of refinery and petrochemical feedstocks using a combination of historical market prices, machine learning, and algebraic planning model information
US12012110B1 (en)2023-10-202024-06-18Crawford Group, Inc.Systems and methods for intelligently transforming data to generate improved output data using a probabilistic multi-application network

Also Published As

Publication numberPublication date
WO2001077911A2 (en)2001-10-18
US20030139993A1 (en)2003-07-24

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