System and method for assuring the integrity of data used to evaluate financial risk or exposure
AssigneeCitibank, N.A.
InventorsRonald Coleman, Richard Renzetti
Life of this patent
Estimating the term…
Abstract
A method and system is provided for assuring the integrity of data used to evaluate financial risk or exposure in trading portfolios such as portfolios of derivative contracts by looking for sweeping changes or statistically significant trends suggestive of possible errors. The method and system uses Content Analysis to measure the changes in the information content or entropy of data to detect abnormal changes that may require human intervention. A graphical user interface can also be provided that provides a mechanism for alerting users of possible errors and also gives an indication of the severity of the detected abnormality.
Claims10
storing, by a server, one or more values of historical data wherein the historical data comprises at least one measurement of an investment;
- receiving, by the server, via a computer network, financial input data for the investment from one or more data processing systems;
- determining, by the server, a measurement for the investment based on the financial input data;
- calculating, by the server, information content of the financial input data using continuous, discrete and a combination of continuous and discrete modes of the input data;
- determining, by the server, a change in the information content of the financial input data as compared to information content based on the historical data;
- determining, by the server, a confidence level based on the change in the information content of the financial input data as compared to the information content based on the historical data;
- assessing, by the server, whether the change was caused by an error in the financial input data by categorizing the confidence level;
- and
- generating, by the server, a report based on the categorized confidence level.
Dependencies are inferred from the claim text.