Factor risk model based system, method, and computer program product for generating risk forecasts

US8019670B2 · kind B2 · utility

Assignee

• ITG Software Solutions, Inc. · US

Inventors

• Ananth Madhavan · New York, US
• Artem V. Asriev · Winchester, US
• Scott Kartinen · New York, US
• Jian Yang · San Jose, US
• Vitaly Serbin · Somerville, US
• Ian Domowitz · New York, US
• Kenneth E. Gosier · Cambridge, US

Key dates

• Filing date: Jul 2, 2010
• Grant date: Sep 13, 2011
• Expiry date: Jul 2, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A computerized method for generating risk forecasts is provided. A set of securities is selected. A set of risk factors is selected. The risk factor returns a determined. A risk factor covariance matrix and an idiosyncratic variance matrix are constructed. For each risk factor, a factor loading coefficient is determined for each selected security. The risk factor covariance matrix is projected into a future forecast. The idiosyncratic variance matrix is projected into a future forecast. The factor loading coefficients, the future forecast of the risk factor covariance matrix, and the future forecast of the idiosyncratic variance matrix can be used to determine a forecast of the variance-covariance matrix for the selected securities.