A method and system for determining value-at-risk-based...

Details A method and system for determining value-at-risk-based... A method and system for determining value-at-risk-based...

G - Physics

06

Q

G06Q 40/04 (2012.01) G06Q 40/06 (2012.01)

Patent

CA 2699997

The present invention provides for a system and method of applying value-at- risk determination of a financial portfo-lio to a performance bond requirement and comparing the value-at-risk determination with a traditional scenario-based performance bond requirement.

La présente invention concerne un système et un procédé d'application d'une détermination de valeur à risque d'un portefeuille financier à une spécification de garantie de bonne fin et de comparaison de la détermination de valeur à risque avec une spécification de garantie de bonne fin basée sur un scénario classique.

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