System and method for determining a liquidity-adjusted value at risk (LA-VaR)
US8234201B1 · kind B1 · utility
22Cited by
3References
27Claims
0Family size
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Key dates
| Filing date | Mar 20, 2009 |
| Grant date | Jul 31, 2012 |
| Priority date | — |
| Expiry date | Sep 18, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Computer-based systems and methods for calculating a liquidity-adjusted VaR for a portfolio. The liquidity-adjusted VaR accounts for the different liquidities of the risks. The process for calculating the liquidity-adjusted VaR may include adding to the standard 1-day VaR only the losses produced by illiquid risks that are orthogonal to the space of liquid risks.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.