Method of optimizing market and institutional risks in foreign exchange hedging
US6938010B1 · kind B1 · utility
21Cited by
8References
5Claims
0Family size
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Key dates
| Filing date | Mar 22, 2000 |
| Grant date | Aug 30, 2005 |
| Priority date | — |
| Expiry date | Mar 22, 2020 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method is provided of optimizing both market and institutional risks in foreign currency exchange hedging. The method includes the steps of selecting a VaR calculator and determining an optimization procedure to be used. The method also includes the steps of using the VaR calculator and the optimization procedure to determine an efficient frontier line and choosing trade-offs between institutional risk and market risk of losses.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.