Methods and systems to quantify and index correlation risk in financial markets and risk management contracts thereon

US11080789B1 · kind B1 · utility

Assignee

• ECONOMIC ALCHEMY INC. · US

Inventors

• Giselle Claudette Guzman · New York, US
• Lawrence Klein · Cambridge, US

Key dates

• Filing date: Jun 18, 2020
• Grant date: Aug 3, 2021
• Expiry date: Jun 18, 2040

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/08
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Systems and methods for creating indicators to quantify and index correlation risk that is market-wide among a broad set of asset classes or portfolio specific relative to an investor's portfolio holdings. The present disclosure relates to risk management in financial markets, and in particular to systems and methods for quantifying and indexing correlation risk such that these indices can serve as underlying assets for futures and options or other financial instruments that investors would use to hedge against the risk.