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AssigneeGlo Software LLC
InventorsLeonid Merkoulovitch, Yaacov Mutnikas, Diane Reynolds, Dan Rosen
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System, method and framework for generating scenarios used in risk management applications. The present invention is based on a generic framework that provides levels of abstraction, segregates risk factors and models, and structures a scenario generation process. In one aspect of the present invention, there is provided a framework for scenario generation for use in a risk management application, where the framework defines a plurality of components associated with a scenario set, where each component is represented by at least one of a set of data structures, and where the set of data structures comprises: at least one first data structure defining a group of risk factors with similar statistical properties; at least one second data structure defining the future distribution or evolutionary process of a risk factor in the group of risk factors; a third data structure defining a calibrated model for generating scenarios, where relationships between risk factors of the group of risk factors are defined therein, and where the calibrated model associates each second data structure with a first data structure; and a fourth data structure specifying how the first, second, and third data structures are to apply to a user-specified risk management problem.
A framework for scenario generation for use in a risk management application, wherein said framework defines a plurality of components associated with a scenario set, wherein each component is represented by at least one of a set of data structures, and wherein said set of data structures comprises:
A method of scenario generation for use in a risk management application, comprising the steps of:
A process of generating scenarios through a simulation, for use in a risk management application, comprising the steps of:
A system for generating scenarios for use in a risk management application, said system comprising:
Dependencies are inferred from the claim text.
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Finance; Insurance; Tax strategies; Processing of corporate or income taxes: insurance
Operations research, analysis or management: risk analysis of enterprise or organisation activities
Finance
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: credit; Loans; Processing thereof
Term end not estimated
The present invention relates generally to risk management systems and methods, and is more specifically directed to a system, method and framework for generating scenarios used in risk management applications.
In order for an organization to effectively manage risk at an enterprise-wide level, a risk management system that can apply methodologies able to integrate the various risks faced by the organization should be used. To be most effective, the system must be capable of integrating risks spanning multiple business units and geographical locations.
As risk measures and their underlying models grow more complex, many risk managers are relying more on scenario-based methods. In these methods, future uncertainty is represented in terms of a set of scenarios, where each scenario represents a possible future economic situation. Accordingly, a scenario set consists of one or more scenarios, and is often interpreted as a set of possible future situations.
For a better understanding of the present invention, and to show more clearly how it may be carried into effect, reference will now be made, by way of example, to the accompanying drawings in which:
FIG. 1 is a diagram illustrating a Mark-to-Future (MtF) cube;
FIG. 2 is a flowchart illustrating the steps in a MtF methodology;
The present invention relates generally to risk management systems and methods, and is more specifically directed to a system, method and framework for generating scenarios used in risk management applications.
According to one aspect of the present invention, there is provided a framework for generating statistical scenarios. In an embodiment of the present invention, the process of generating statistical scenarios in accordance with this framework is based on the answers to five key questions. The answers are used to decompose the process into a series of identifiable, reusable and self-contained components within the scenario generation framework. The framework allows the thought process and goals of a risk manager to be related directly to the scenario generation process.
The framework addresses some of the most significant issues in scenario generation: varied audiences need information about scenarios, models are inherently complex, new models need to be incorporated as they emerge, and large numbers of risk factors must be managed. To deal with these issues, the framework provides several levels or layers of abstraction, a modular structure, a separation of risk factors and models, and a separation of the joint and marginal distributions. The strengths of the framework include its flexibility, extensibility and usefulness in explaining large-scale scenario generation processes clearly and concisely.