Abstract: According to one aspect of the invention, there is provided a method of modeling operational risk comprising the steps of: defining one or more reporting hierarchies, wherein said reporting hierarchies are composed of operational units; associating operational risk data to one or more of said operational units, wherein said operational risk data includes data associated with a plurality of first loss events; and calibrating a plurality of loss processes and a plurality of loss process attributes using said plurality of first loss events, wherein a plurality of loss processes are generated for use in at least one of risk management, operations management, and financial management.
Abstract: A computer-implemented method for compressing a portfolio of financial instruments is described. Financial instruments to be compressed are identified, and a compressed subportfolio corresponding to the identified financial instruments is generated. The compressed subportfolio and any non-compressed financial instruments are then combined into a compressed portfolio.
May 28, 1998
Date of Patent:
August 21, 2001
Algorithmics International Corporation
Ron Samuel Dembo, Alexander Yacov Kreinin, Dan Rosen