Abstract: The invention comprises a risk model and data, and is provided on a secure Web-based, interactive platform, whereby a user can build customized risk analyses and reports, covering multiple asset classes and markets. The invention also organizes and categorizes assets along dimensions best reflecting a user's investment process, determines risk assumed, determines sources of risk, allows viewing of a portfolio's risk exposures, identifies and quantifies sources of volatility, provides streamlined risk reporting, and provides a trade scenario utility.

Abstract: A method and apparatus for developing a structural model of credit risk that incorporates the short-term uncertainty inherent in default events is disclosed. The model is based on the assumption of incomplete information, taking as premise that bond investors are not certain about the true level of a firm's value that may trigger default. In addition, the coherent integration of structure and uncertainty is facilitated with compensators. Compensators form the infrastructure of a class of credit models that is broad enough to include traditional structural models, intensity-based models, and a great deal more. Several empirical examples are provided that compare default probabilities and credit yield spreads forecast by the incomplete information model to the output of a Black and Cox (1976) model. It is found that the incomplete information model reacts more quickly and, unlike traditional structural models, forecasts positive short-term credit spreads for firms that are in distress.

Abstract: An invention forcing an aggregate risk model to be consistent with standalone models is provided. A revising transformation parameterized over and an objective function minimized over, the orthogonal group are provided, least changing cross blocks of covariance matrices, preserving information in original cross block correlations, consistent with a prescribed revised sub-block.

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.