Methods for determining value at risk

US7356504B2 · kind B2 · utility

Assignee

• The Olsen Group · CH

Inventor

• Ulrich Müller · Neustadt, DE

Key dates

• Filing date: Apr 26, 2001
• Grant date: Apr 8, 2008
• Expiry date: Nov 13, 2024

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A preferred embodiment comprises a method for determining value-at-risk based on tick-by-tick financial data. Major steps of the method comprise the following: (1) financial market transaction data is electronically received by a computer; (2) the received financial market transaction data is electronically; (3) a time series z is constructed that models the received financial market transaction data; (4) an exponential moving average operator is constructed; (5) an operator is constructed that is based on the exponential moving average operator; (6) a causal operator Ω[z] is constructed that is based on the iterated exponential moving average operator; (7) values of predictive factors are calculated; (8) the values calculated by the computer are stored in a computer readable medium, and (9) value-at-risk is calculated from the values stored in step (8).