System and method for determining value at risk of a financial portfolio

From FinMath

Contents 1 Patent Title 1.1 Patent Number 2 Abstract 3 Inventors 3.1 Assignee 4 Filed Date 5 Links

[edit] Patent Title

System and method for determining value at risk of a financial portfolio

[edit] Patent Number

US Patent 6085175

[edit] Abstract

The present invention provides a system and method for accurately estimating value-at-risk (VAR) of a financial portfolio. The present invention analyzes a distribution of sorted financial data samples to determine an accurate range of upper and lower limits of an expected value of VAR so that an analyst or another financial analysis system may select an appropriate VAR value from the range presented.

[edit] Inventors

Gugel; Leon G. (Woodhaven, NY), Tsigutkin; Alexander (New York, NY)

[edit] Assignee

Axiom Software Laboratories, Inc.

[edit] Filed Date

July 2, 1998

[edit] Links

Full Patent Information [1]

Financial_patents