首页> 外国专利> SYSTEM AND METHOD FOR MODELING AND QUANTIFYING REGULATORY CAPITAL, KEY RISK INDICATORS, PROBABILITY OF DEFAULT, EXPOSURE AT DEFAULT, LOSS GIVEN DEFAULT, LIQUIDITY RATIOS, AND VALUE AT RISK, WITHIN THE AREAS OF ASSET LIABILITY MANAGEMENT, CREDIT RISK, MARKET RISK, OPERATIONAL RISK, AND LIQUIDITY RISK FOR BANKS

SYSTEM AND METHOD FOR MODELING AND QUANTIFYING REGULATORY CAPITAL, KEY RISK INDICATORS, PROBABILITY OF DEFAULT, EXPOSURE AT DEFAULT, LOSS GIVEN DEFAULT, LIQUIDITY RATIOS, AND VALUE AT RISK, WITHIN THE AREAS OF ASSET LIABILITY MANAGEMENT, CREDIT RISK, MARKET RISK, OPERATIONAL RISK, AND LIQUIDITY RISK FOR BANKS

机译：在资产负债管理，资产风险，信用风险，范围内建模和量化监管资本，关键风险指标，违约概率，违约风险暴露，违约违约风险，流动性比率以及风险价值的系统和方法以及银行的流动风险

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摘要

The present invention is in the field of modeling and quantifying Regulatory Capital, Key Risk Indicators, Probability of Default, Exposure at Default, Loss Given Default, Liquidity Ratios, and Value at Risk, using quantitative models, Monte Carlo risk simulations, credit models, and business statistics, and relates to the modeling and analysis of Asset Liability Management, Credit Risk, Market Risk, Operational Risk, and Liquidity Risk for banks or financial institutions, allowing these firms to properly identify, assess, quantify, value, diversify, hedge, and generate periodic regulatory reports for supervisory authorities and Central Banks on their credit, market, and operational risk areas.

机译：本发明涉及以下领域：使用定量模型，蒙特卡洛风险模拟，信用模型，对监管资本，关键风险指标，违约概率，违约风险暴露，给定违约损失，流动性比率和风险价值进行建模和量化。和业务统计数据，并与银行或金融机构的资产负债管理，信用风险，市场风险，操作风险和流动性风险的建模和分析有关，从而使这些公司能够正确地识别，评估，量化，估值，分散，对冲，并定期向监管机构和中央银行提供有关其信贷，市场和操作风险领域的监管报告。

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公开/公告号WO2015094545A1

专利类型
公开/公告日2015-06-25

原文格式PDF
申请/专利权人 MUN JOHNATHAN;
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申请/专利号WO2014US66270
发明设计人 MUN JOHNATHAN;
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申请日2014-11-19
分类号G06Q40;G06F17/40;
国家 WO
入库时间 2022-08-21 15:05:46

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