Patents by Inventor Eduardo Canabarro

Eduardo Canabarro has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • System and method for determining a liquidity-adjusted value at risk (LA-VaR)
    Patent number: 8234201
    Abstract: Computer-based systems and methods for calculating a liquidity-adjusted VaR for a portfolio. The liquidity-adjusted VaR accounts for the different liquidities of the risks. The process for calculating the liquidity-adjusted VaR may include adding to the standard 1-day VaR only the losses produced by illiquid risks that are orthogonal to the space of liquid risks.
    Type: Grant
    Filed: March 20, 2009
    Date of Patent: July 31, 2012
    Assignee: Morgan Stanley
    Inventor: Eduardo Canabarro