Is a
Patent attributes
Patent Applicant
Current Assignee
Patent Jurisdiction
Patent Number
Patent Inventor Names
Zijiang Yang0
Guo Chen0
Siwen Yang0
Nikhil Joshi0
Jennifer Weng0
Date of Patent
April 23, 2024
0Patent Application Number
178397910
Date Filed
June 14, 2022
0Patent Citations
Patent Primary Examiner
Patent abstract
A system may be configured to generate an estimate of value at risk and may include a processor to process instructions that cause the system to generate a rolling time series of value data having a plurality of dimensions, perform rotation transform of the time series, perform variance scaling and correlation scaling on transformed time series, reverse transform the results of the scaling, and estimate of a value-at-risk for the value data.
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