Abstract: Aspects of the disclosure provide for a computer program product comprising a computer readable medium having program instructions embodied therewith, the program instructions executable by a processor to generate a set of scenarios corresponding to a test data set and depending on a selected data analysis model, determine a value for each point in time over a defined time interval and an exposure profile that is a continuous time representation of each value determined for each point in time, determine a risk envelope desired for the scenarios, determine a test statistic defining a fraction of the defined time interval that the exposure profile is outside the risk envelope, determine a cumulative distribution of the test statistic, the cumulative distribution having a critical value corresponding to a defined probability of accuracy of the data analysis model, and validate the data analysis model based on the critical value and the test statistic.

Abstract: Aspects of the disclosure provide for a computer program product comprising a computer readable medium having program instructions embodied therewith, the program instructions executable by a processor to generate a set of scenarios corresponding to a test data set and depending on a selected data analysis model, determine a value for each point in time over a defined time interval and an exposure profile that is a continuous time representation of each value determined for each point in time, determine a risk envelope desired for the scenarios, determine a test statistic defining a fraction of the defined time interval that the exposure profile is outside the risk envelope, determine a cumulative distribution of the test statistic, the cumulative distribution having a critical value corresponding to a defined probability of accuracy of the data analysis model, and validate the data analysis model based on the critical value and the test statistic.

Abstract: The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models.

Abstract: The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models.

Abstract: The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models.