Patents by Inventor Jared Weinstein

Jared Weinstein 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 forecasting portfolio losses at multiple horizons
    Patent number: 7870052
    Abstract: A computer system, which may comprise a processor, a memory and a database, may implement a loss surface determining software module that forecasts a portfolio's loss surface. Daily loss histories may be collected from actual data or may be generated using a factor model. A model may generate a sequence of iid high frequency loss innovations that can be temporally aggregated with a Fourier transform. For each portfolio, the loss surface may be forecasted and 95% and 99% value-at-risk and expected shortfall forecasts may be derived for various time horizons.
    Type: Grant
    Filed: April 24, 2007
    Date of Patent: January 11, 2011
    Assignee: Morgan Stanley Capital International, Inc.
    Inventors: Lisa R. Goldberg, Guy Miller, Jared Weinstein