G - Physics – 06 – Q
Patent
G - Physics
06
Q
G06Q 10/04 (2012.01) G06Q 40/06 (2012.01)
Patent
CA 2381689
System, method and framework for generating scenarios used in risk management applications. The present invention is based on a generic framework that provides levels of abstraction, segregates risk factors and models, and structures a scenario generation process. In one aspect of the present invention, there is provided a framework for scenario generation for use in a risk management application, where the framework defines a plurality of components associated with a scenario set, where each component is represented by at least one of a set of data structures, and where the set of data structures comprises: at least one first data structure defining a group of risk factors with similar statistical properties; at least one second data structure defining the future distribution or evolutionary process of a risk factor in the group of risk factors; a third data structure defining a calibrated model for generating scenarios, where relationships between risk factors of the group of risk factors are defined therein, and where, the calibrated model associates each second data structure with a first data structure; and a fourth data structure specifying how the first, second, and third data structures are to apply to a user- specified risk management problem.
Merkoulovitch Leonid
Mutnikas Yaacov
Reynolds Diane
Rosen Dan
Algorithmics International Corp.
Algorithmics Software Llc
Bereskin & Parr Llp/s.e.n.c.r.l.,s.r.l.
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