US 2014/0279703 A1 · Systems and methods for parameter estimation for use in determining value-at-risk

Abstract

A process is provided, that facilitates the use of value-at-risk analysis in industries with dynamic market data. The method utilizes past market data to estimate future market parameters. The method includes identifying and removing seasonal patterns from said past market data and normalizing deseasonalized market data with a repeated method of replacing large outliers with mean values. Outliers and normalized data are then grouped separately. Forecasts of normalized future market data and forecasts of future outlier patterns are then determined from said separate groups. In this way parameters used for value-at-risk analysis can be accurately estimated, leading to precise value-at-risk-analysis results.

Claims32

Dependent claims

A system for parameter estimation for use in determining value-at-risk, comprising:

a computer program for use with a computer having a memory;
a database of historical market data;
the computer program configured to:
process the historical market data to remove seasonality effects;
process the historical market data to identify and remove jump values;
save the removed jump values as a first set of modified market data;
save the historical market data that have been processed to remove seasonality and jump values as a second set of modified market data;
use the first and second set of modified market data to estimate one or more of the parameters selected from the group consisting of long-term equilibrium price, equilibrium price growth rate, equilibrium price volatility, rate of mean reversion, correlation of equilibrium price and spot price, jump rate, jump volatility and mean jump size.

5 more elements

Dependencies are inferred from the claim text.

Systems and methods for parameter estimation for use in determining value-at-risk

Life of this patent

Systems and methods for parameter estimation for use in determining value-at-risk

Life of this patent

Abstract

Claims32