Method and apparatus for an integrative model of multiple asset classes
AssigneeBarra, Inc.
InventorsDaniel Stefek, Lisa Robin Goldberg, Scott Steven Scheffler, Ken Chorlam Hui, Nicolas Goodrich Torre
Life of this patent
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Abstract
The invention provides a method and apparatus for combining two or more risk models to create a risk model with wider scope than its constituent parts. The method insures that the newly formed risk model is consistent with the component models from which it is formed.
Claims32
A computer implemented aggregate risk model for a plurality of asset classes, where construction of the aggregate risk model comprises the steps of:
- integrating a plurality of factor models corresponding to the plurality of asset classes, where integration of the plurality of factor models is based at least in part on:
- one or more global factors (g) that capture covariance among factors (f) associated with the plurality of factor models;
- and
- exposures (Y) of the factors (f) associated with the plurality of factor models to the one or more global factors (g).
A computer implemented method for constructing an aggregate risk model for a plurality of asset classes, comprising the steps of:
- integrating a plurality of factor models is based at least in part on data derived from the steps comprising:
- determining one or more global factors (g) that capture covariance among factors (f) associated with the plurality of factor models;
- and
- determining exposures (Y) of the factors (f) associated with the plurality of factor models to the one or more global factors (g).
A computer implemented aggregate risk model for a plurality of asset classes, where construction of the aggregate risk model comprises the steps of:
- integrating a plurality of factor models corresponding to the plurality of asset classes, where integrating of the plurality of factor models is based at least in part on:
- data associated with the plurality of factor models corresponding to the plurality of asset classes;
- and
- an estimated factor model with one or more global factors (g) that captures the covariance among factors (f) associated with the plurality of factor models.
A computer implemented method for constructing an aggregate risk model for a plurality of asset classes, comprising the steps of:
- integrating a plurality of factor models corresponding to the plurality of asset classes, where integration of the plurality of factor models is based at least in part on data derived from the steps comprising:
- determining data associated with the plurality of factor models corresponding to the plurality of asset classes;
- and
- determining an estimated factor model with one or more global factors (g) that captures the covariance among factors (f) associated with the plurality of factor models.
A computer implemented method for combining two or more risk models to provide an aggregate risk model for a plurality of asset classes, for risk analysis, comprising the steps of:
- determining a factor risk model, having one or more factors, for each of the asset classes;
- combining the factor risk models to form and output an aggregate risk factor model based at least in part on:
- data associated with each of the factor risk models comprising:
- one or more time matrix
- to form and output an aggregate risk model with wider scope than the factor risk models;
- and
- wherein the aggregate risk model is consistent with each of the factor risk models.
Dependencies are inferred from the claim text.