Abstract: A computerized data processing system for performing risk analysis of a portfolio, the system including a modeling and calibration unit configured to describe risk factors as random variables, the random variables being related to each other by a correlation matrix; an input unit configured to enter or choose calibration data and to obtain, by using the modeling and calibration unit, values for parameters that describe the degree of freedom for sub-vectors and to obtain values for the correlation matrix for the random variables, to enter or choose at least one risk mapping function, and to enter portfolio data of a portfolio to be analyzed; a simulation unit configured to simulate realization of the risk factors by using the correlation matrix; and an output unit configured to generate output data resulting from the simulation unit in a form of at least one of a risk measure or a price.

Abstract: The present invention relates to a system and a computer implemented method for performing risk analysis of a portfolio.