CA2195897A1 - System and method for determination of incremental value at risk for securities trading - Google Patents

System and method for determination of incremental value at risk for securities trading

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Publication number
CA2195897A1
CA2195897A1 CA002195897A CA2195897A CA2195897A1 CA 2195897 A1 CA2195897 A1 CA 2195897A1 CA 002195897 A CA002195897 A CA 002195897A CA 2195897 A CA2195897 A CA 2195897A CA 2195897 A1 CA2195897 A1 CA 2195897A1
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CA
Canada
Prior art keywords
candidate
var
measure
trade
var measure
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Granted
Application number
CA002195897A
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French (fr)
Other versions
CA2195897C (en
Inventor
Mark B. Garman
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Financial Engineering Associates Inc
Original Assignee
Financial Engineering Associates Inc
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Family has litigation
First worldwide family litigation filed litigation Critical https://patents.darts-ip.com/?family=24404659&utm_source=google_patent&utm_medium=platform_link&utm_campaign=public_patent_search&patent=CA2195897(A1) "Global patent litigation dataset” by Darts-ip is licensed under a Creative Commons Attribution 4.0 International License.
Application filed by Financial Engineering Associates Inc filed Critical Financial Engineering Associates Inc
Publication of CA2195897A1 publication Critical patent/CA2195897A1/en
Application granted granted Critical
Publication of CA2195897C publication Critical patent/CA2195897C/en
Anticipated expiration legal-status Critical
Expired - Fee Related legal-status Critical Current

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

A system, method, and product determines the incremental impact of any number of candidate trades on the value at risk (VaR) measure of a trading portfolio within a trading interval, without requiring that the VaR measure be redetermined individually with respect to each candidate trade. The method includes determining the VaR measure for the trading portfolio, and determining a derivative vector quantity for the VaR measure. For each candidate trade, the impact of the candidate trade on the VaR measure is determined as the vector product of the derivative vector and the mapped cashflows of the candidate trade. A negative sign indicates a desirable reduction in the VaR measure. This determination may be made for any number of candidate trades without having to re-determine the VaR measure. The software product employs this method in a financial analysis application in an optimized implementation. The system includes the software product along with databases storing the trading portfolio(s). Additionally, the method and productallow each candidate trade to be normalized with respect to selected criteria, so that a number of individual candidate trades may be ranked with respect to their incremental impact on the VaR measure to determine the candidate trade the best reduces the VaR measure.
CA002195897A 1996-02-13 1997-01-24 System and method for determination of incremental value at risk for securities trading Expired - Fee Related CA2195897C (en)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US08/600,685 US5819237A (en) 1996-02-13 1996-02-13 System and method for determination of incremental value at risk for securities trading
US08/600,685 1996-02-13

Publications (2)

Publication Number Publication Date
CA2195897A1 true CA2195897A1 (en) 1997-08-14
CA2195897C CA2195897C (en) 2003-04-08

Family

ID=24404659

Family Applications (1)

Application Number Title Priority Date Filing Date
CA002195897A Expired - Fee Related CA2195897C (en) 1996-02-13 1997-01-24 System and method for determination of incremental value at risk for securities trading

Country Status (5)

Country Link
US (1) US5819237A (en)
EP (1) EP0790568A1 (en)
JP (1) JP3324950B2 (en)
AU (1) AU713537B2 (en)
CA (1) CA2195897C (en)

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US5819237A (en) 1998-10-06
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AU713537B2 (en) 1999-12-02

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