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

Method and device for calculating value at risk

Info

Publication number
AU2001246268A1
AU2001246268A1 AU2001246268A AU4626801A AU2001246268A1 AU 2001246268 A1 AU2001246268 A1 AU 2001246268A1 AU 2001246268 A AU2001246268 A AU 2001246268A AU 4626801 A AU4626801 A AU 4626801A AU 2001246268 A1 AU2001246268 A1 AU 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 Individual filed Critical Individual
Publication of AU2001246268A1 publication Critical patent/AU2001246268A1/en
Abandoned legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Landscapes

  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Finance (AREA)
  • Accounting & Taxation (AREA)
  • Development Economics (AREA)
  • Theoretical Computer Science (AREA)
  • Physics & Mathematics (AREA)
  • General Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Operations Research (AREA)
  • Human Resources & Organizations (AREA)
  • Game Theory and Decision Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Complex Calculations (AREA)
AU2001246268A 2000-03-28 2001-03-28 Method and device for calculating value at risk Abandoned AU2001246268A1 (en)

Applications Claiming Priority (5)

Application Number Priority Date Filing Date Title
US19256400P 2000-03-28 2000-03-28
US60192564 2000-03-28
US24487500P 2000-11-02 2000-11-02
US60244875 2000-11-02
PCT/CA2001/000418 WO2001077911A2 (en) 2000-03-28 2001-03-28 Method and device for calculating value at risk

Publications (1)

Publication Number Publication Date
AU2001246268A1 true AU2001246268A1 (en) 2001-10-23

Family

ID=26888186

Family Applications (1)

Application Number Title Priority Date Filing Date
AU2001246268A Abandoned AU2001246268A1 (en) 2000-03-28 2001-03-28 Method and device for calculating value at risk

Country Status (3)

Country Link
US (1) US20030139993A1 (en)
AU (1) AU2001246268A1 (en)
WO (1) WO2001077911A2 (en)

Families Citing this family (44)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US8170935B2 (en) * 2000-03-27 2012-05-01 Nyse Amex Llc Systems and methods for evaluating the integrity of a model portfolio of a financial instrument
US8170934B2 (en) * 2000-03-27 2012-05-01 Nyse Amex Llc Systems and methods for trading actively managed funds
US10929927B2 (en) 2000-03-27 2021-02-23 Nyse American Llc Exchange trading of mutual funds or other portfolio basket products
US7099838B1 (en) * 2000-03-27 2006-08-29 American Stock Exchange, Llc Hedging exchange traded mutual funds or other portfolio basket products
US20150348195A1 (en) 2000-03-27 2015-12-03 Nyse Mkt Llc Systems and methods for trading actively managed funds
GB0206440D0 (en) * 2002-03-18 2002-05-01 Global Financial Solutions Ltd System for pricing financial instruments
US7571130B2 (en) * 2002-06-17 2009-08-04 Nyse Alternext Us Llc Hedging exchange traded mutual funds or other portfolio basket products
US8301535B1 (en) 2000-09-29 2012-10-30 Power Financial Group, Inc. System and method for analyzing and searching financial instrument data
EP1199653A1 (en) * 2000-10-18 2002-04-24 Abb Research Ltd. System and method for automatic determination of an overall risk measure based on several independent risk factors
US7024388B2 (en) * 2001-06-29 2006-04-04 Barra Inc. Method and apparatus for an integrative model of multiple asset classes
GB2377040A (en) * 2001-06-25 2002-12-31 Secr Defence Financial portfolio risk management
US7979336B2 (en) * 2002-03-18 2011-07-12 Nyse Amex Llc System for pricing financial instruments
US7797215B1 (en) 2002-06-26 2010-09-14 Power Financial Group, Inc. System and method for analyzing and searching financial instrument data
US20040186804A1 (en) * 2003-03-19 2004-09-23 Anindya Chakraborty Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
US7640201B2 (en) * 2003-03-19 2009-12-29 General Electric Company Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
US7593880B2 (en) * 2003-03-19 2009-09-22 General Electric Company Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
NZ530377A (en) * 2003-12-24 2006-10-27 John Redmayne System and method for modelling pricing of securities such as expected risk, rate of return and default loss
US8126795B2 (en) * 2004-02-20 2012-02-28 General Electric Company Systems and methods for initial sampling in multi-objective portfolio analysis
US7542932B2 (en) * 2004-02-20 2009-06-02 General Electric Company Systems and methods for multi-objective portfolio optimization
US7630928B2 (en) * 2004-02-20 2009-12-08 General Electric Company Systems and methods for multi-objective portfolio analysis and decision-making using visualization techniques
US8219477B2 (en) * 2004-02-20 2012-07-10 General Electric Company Systems and methods for multi-objective portfolio analysis using pareto sorting evolutionary algorithms
US7469228B2 (en) * 2004-02-20 2008-12-23 General Electric Company Systems and methods for efficient frontier supplementation in multi-objective portfolio analysis
WO2006089588A1 (en) * 2005-02-24 2006-08-31 Swiss Reinsurance Company Automated risk monitoring method and system
US7685063B2 (en) * 2005-03-25 2010-03-23 The Crawford Group, Inc. Client-server architecture for managing customer vehicle leasing
US20060253360A1 (en) * 2005-04-22 2006-11-09 Lehman Brothers Inc. Methods and systems for replicating an index with liquid instruments
US8027904B2 (en) * 2005-05-04 2011-09-27 Chicago Board Options Exchange, Incorporated Method and system for creating and trading corporate debt security derivative investment instruments
US20060253368A1 (en) * 2005-05-04 2006-11-09 Chicago Board Options Exchange System and method for creating and trading credit rating derivative investment instruments
US8326722B2 (en) * 2005-08-08 2012-12-04 Warp 11 Holdings, Llc Estimating risk of a portfolio of financial investments
US7805329B2 (en) * 2006-03-02 2010-09-28 Siemens Aktiengesellschaft Development of actual risk costs based on estimated risk costs as well as probabilistic restriction of the actual risk costs
US8126746B2 (en) * 2006-03-02 2012-02-28 Hartford Fire Insurance Company System and method for processing and administering flexible guaranteed income payments
US8744893B2 (en) * 2006-04-11 2014-06-03 Siemens Aktiengesellschaft Method for analyzing risks in a technical project
US20070288397A1 (en) * 2006-06-12 2007-12-13 Nec Europe Ltd. Methodology for robust portfolio evaluation and optimization taking account of estimation errors
US8200569B1 (en) 2006-06-22 2012-06-12 Power Financial Group, Inc. Option search criteria testing
US8548884B2 (en) * 2007-10-24 2013-10-01 Barclays Capital Inc. Systems and methods for portfolio analysis
US8234201B1 (en) * 2008-08-01 2012-07-31 Morgan Stanley System and method for determining a liquidity-adjusted value at risk (LA-VaR)
US8751286B2 (en) * 2009-09-25 2014-06-10 Nec Corporation Loss distribution calculation system, loss distribution calculation method and loss distribution calculation-use program
US8355976B2 (en) * 2011-01-18 2013-01-15 International Business Machines Corporation Fast and accurate method for estimating portfolio CVaR risk
US10664914B2 (en) * 2014-07-21 2020-05-26 American International Group, Inc. Portfolio optimization and evaluation tool
US20160098795A1 (en) * 2014-10-02 2016-04-07 Mehmet Alpay Kaya Path-Dependent Market Risk Observer
US10755214B2 (en) * 2016-04-20 2020-08-25 Aspen Technology, Inc. Robust feedstock selection system for the chemical process industries under market and operational uncertainty
US10931702B2 (en) * 2018-04-24 2021-02-23 Cyberfortress, Inc. Vulnerability profiling based on time series analysis of data streams
US20200027105A1 (en) * 2018-07-20 2020-01-23 Jpmorgan 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) 2020-04-22 2023-05-30 Aspentech Corporation Automated evaluation of refinery and petrochemical feedstocks using a combination of historical market prices, machine learning, and algebraic planning model information
US12012110B1 (en) 2023-10-20 2024-06-18 Crawford Group, Inc. Systems and methods for intelligently transforming data to generate improved output data using a probabilistic multi-application network

Also Published As

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

Similar Documents

Publication Publication Date Title
AU2001246268A1 (en) Method and device for calculating value at risk
AU2002224949A1 (en) Method and device for measuring levels
AU2001286419A1 (en) Endourethral device and method
EP1330151B8 (en) Device and method for mounting parts
AU2001279532A1 (en) Method and device for measuring distances
AU4669601A (en) Measurement system and method
AU2001243298A1 (en) Apparatus and method for determining position
AU2001230287A1 (en) Payment device and method for secure payment
AU2001291608A1 (en) Device and method for measuring angles
AU2001283546A1 (en) Inhalation device and method
AU2001247758A1 (en) System and method for picture-in-browser scaling
AU2001264771A1 (en) Well reference apparatus and method
AU2001251237A1 (en) Area measurement device and method
AU2553801A (en) Sir measuring device and sir measuring method
AU2001280511A1 (en) Method and device for measuring cavitation
AU2001279850A1 (en) Method and arrangement for studsystem
AU2001274521A1 (en) Receiving device and receiving method
AU2002216034A1 (en) Method and system for measuring levels
AU2001273805A1 (en) Sir measure method and apparatus for the same
AU2002219222A1 (en) Device and method for changing lines
AU2002222329A1 (en) An electro-optical device and method
AU2002221785A1 (en) Method and device for determining position
AU2001248369A1 (en) Method and device for measuring vital parameters
AU2002221232A1 (en) Device and method for parking
AUPR222300A0 (en) Electrophoresis device and method