Message elimination in multi-model risk correlation system
US11908006B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 20, 2018 |
| Grant date | Feb 20, 2024 |
| Priority date | — |
| Expiry date | Dec 31, 2038 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A computer implemented method for cross asset correlation includes receiving, by a processor, portfolio data for a plurality of portfolios, determining, by the processor, a single portfolio performance vector for each of the plurality of portfolios based on a portfolio specific model, determining, by the processor, a joint portfolio performance vector for the plurality of portfolios based on portfolio specific models, determining, by the processor, for each portfolio, a portfolio specific scalar based on the single portfolio performance vector and the joint portfolio performance vector; and modifying, by the processor, a portfolio risk based on the portfolio specific model and the portfolio specific scalar.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.