Abstract: Systems and methods for creating indicators to quantify and index correlation risk that is market-wide among a broad set of asset classes or portfolio specific relative to an investor's portfolio holdings. The present disclosure relates to risk management in financial markets, and in particular to systems and methods for quantifying and indexing correlation risk such that these indices can serve as underlying assets for futures and options or other financial instruments that investors would use to hedge against the risk.
Type:
Grant
Filed:
June 18, 2020
Date of Patent:
August 3, 2021
Assignee:
Economic Alchemy LLC
Inventors:
Giselle Claudette Guzman, Lawrence Klein