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1. 发明申请

US20110153536A1 Computer-Implemented Systems And Methods For Dynamic Model Switching Simulation Of Risk Factors 审中-公开
标题翻译：计算机实现的系统和方法用于动态模型切换模拟风险因素
公开(公告)号：US20110153536A1
公开(公告)日：2011-06-23
申请号：US12640881
申请日：2009-12-17
申请人： Zhiping Yang , Donald James Erdman , Wei Chen
发明人： Zhiping Yang , Donald James Erdman , Wei Chen
IPC分类号： G06N5/02 , G06F17/10
CPC分类号： G06F17/18 , G06F17/5009 , G06F2217/10 , G06Q40/08
摘要： Computer-implemented systems and methods are provided for implementing a dynamic model switching simulator that generates a plurality of simulations. A system and method generates a simulation comprising predictions over a plurality of time periods. Generating a simulation includes generating a first time period prediction using a first model of a first model type. Generating the plurality of subsequent time period predictions includes evaluating the model switching rule to identify whether to switch models for a subsequent time period prediction, generating the subsequent time period prediction using the first model if a switch of models is not identified, and generating the subsequent time period prediction using a second model of a second model type otherwise.
摘要翻译：提供了计算机实现的系统和方法来实现产生多个模拟的动态模型切换模拟器。系统和方法产生包括多个时间周期的预测的模拟。生成模拟包括使用第一模型类型的第一模型生成第一时间段预测。产生多个随后的时间段预测包括评估模型切换规则以识别是否为随后的时间段预测切换模型，如果模型的切换未被识别，则使用第一模型生成随后的时间段预测，并且生成后续的否则使用第二模型类型的第二模型进行时段预测。

2. 发明申请

US20110167020A1 Hybrid Simulation Methodologies To Simulate Risk Factors 审中-公开
标题翻译：混合模拟方法模拟风险因素
公开(公告)号：US20110167020A1
公开(公告)日：2011-07-07
申请号：US12683020
申请日：2010-01-06
申请人： Zhiping Yang , Donald James Erdman , Stacey Michelle Christian , Wei Chen
发明人： Zhiping Yang , Donald James Erdman , Stacey Michelle Christian , Wei Chen
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/025
摘要： Computer-implemented systems and methods are provided for generating a simulated forecast based on members of a pool of input risk factor variables. Certain members of the pool of input risk factor variables are identified as members of a first set of variables, and certain other members of the pool of input risk factor variables are identified as members of a second set of variables. A first simulation is generated via a first simulation method using the first set of variables, and a second simulation is generated via a second simulation method that differs from the first simulation method using the second set of variables. The first simulation and the second simulation are generated using correlations among variables in the first set of variables and variables in the second set of variables.
摘要翻译：提供计算机实现的系统和方法，用于基于输入风险因子变量池的成员生成模拟预测。输入风险因素变量池的某些成员被识别为第一组变量的成员，并且输入风险因子变量池的某些其他成员被识别为第二组变量的成员。通过使用第一组变量的第一模拟方法生成第一模拟，并且通过与使用第二组变量的第一模拟方法不同的第二模拟方法生成第二模拟。第一个模拟和第二个模拟是使用第二组变量和第二组变量中的变量之间的变量之间的相关来生成的。

3. 发明申请

US20110264602A1 Computer-Implemented Systems And Methods For Implementing Dynamic Trading Strategies In Risk Computations 审中-公开
标题翻译：计算机实施系统和风险计算中实施动态交易策略的方法
公开(公告)号：US20110264602A1
公开(公告)日：2011-10-27
申请号：US12893408
申请日：2010-09-29
申请人： Donald James Erdman , Wei Chen , Steve Krueger , Scott Thomas Gray , Brent Allen Smolinski
发明人： Donald James Erdman , Wei Chen , Steve Krueger , Scott Thomas Gray , Brent Allen Smolinski
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06
摘要： Systems and methods are provided for simulating a portfolio risk of a portfolio managed according to one or more portfolio management rules. An initial holding amount of an investment instrument is received, and a portfolio management rule is received. One or more risk factors are simulated a first time period into the future. An adjustment amount is determined based on the portfolio management rule and the one or more risk factors simulated a first time period into the future and the holding amount of the investment instrument is adjusted based on adjustment amount. The one or more risk factors are simulated a second time period into the future, and a portfolio risk value is calculated based on the adjusted holding amount and the one or more risk factors simulated a second time period into the future.
摘要翻译：提供了系统和方法，用于模拟根据一个或多个投资组合管理规则管理的投资组合的投资组合风险。收到投资工具的初始持有量，并收到投资组合管理规则。一个或多个风险因素在未来的第一时间段被模拟。调整金额根据投资组合管理规则和模拟未来第一时间段的一个或多个风险因素确定，投资工具的持有金额根据调整金额进行调整。一个或多个风险因素在未来的第二时间段内进行模拟，并根据经调整的持有量和未来模拟第二个时间段的一个或多个风险因素计算投资组合风险值。

4. 发明授权

US08312260B2 Dynamic analytical differentiator for obfuscated functions in complex models 有权
标题翻译：复杂模型中混淆函数的动态分析微分
公开(公告)号：US08312260B2
公开(公告)日：2012-11-13
申请号：US12576650
申请日：2009-10-09
申请人： Stacey Michelle Christian , Donald James Erdman
发明人： Stacey Michelle Christian , Donald James Erdman
IPC分类号： G06F21/00
CPC分类号： G06F21/62 , G06F17/10 , G06F21/14 , H04L9/00 , H04L2209/16
摘要： Systems and methods are provided for providing secure transmission of software code, which includes a mathematical function, from a first computer to a second computer so that the mathematical function's content cannot be determined at the second computer. A method includes generating a secure container, where the secure container includes an encrypted representation of the mathematical function and metadata identifying the mathematical function encrypted in the secure container. The method further includes providing the secure container from the first computer to the second computer over a communication transmission medium, where the secure container is accessed at the second computer using the metadata to identify the mathematical function, and where the mathematical function contained within the secure container is decrypted and incorporated into program code in a compiled form so that the mathematical function can be used but the mathematical function's content cannot be determined at the second computer.
摘要翻译：提供了系统和方法，用于提供从第一计算机到第二计算机的包括数学函数的软件代码的安全传输，使得不能在第二计算机处确定数学函数的内容。一种方法包括生成安全容器，其中安全容器包括数学函数的加密表示和标识在安全容器中加密的数学函数的元数据。该方法还包括通过通信传输介质将安全容器从第一计算机提供给第二计算机，其中使用元数据在第二计算机访问安全容器以识别数学函数，并且其中包含在安全性内的数学函数容器被解密并以编译形式并入程序代码中，使得可以使用数学函数，但是在第二计算机上不能确定数学函数的内容。

5. 发明申请

US20110087876A1 Dynamic Analytical Differentiator For Obfuscated Functions In Complex Models 有权
标题翻译：复杂模型中混淆函数的动态分析微分
公开(公告)号：US20110087876A1
公开(公告)日：2011-04-14
申请号：US12576650
申请日：2009-10-09
申请人： Stacey Michelle Christian , Donald James Erdman
发明人： Stacey Michelle Christian , Donald James Erdman
IPC分类号： H04L9/00 , G06F9/45 , G06F17/10
CPC分类号： G06F21/62 , G06F17/10 , G06F21/14 , H04L9/00 , H04L2209/16
摘要： Systems and methods are provided for providing secure transmission of software code, which includes a mathematical function, from a first computer to a second computer so that the mathematical function's content cannot be determined at the second computer. A method includes generating a secure container, where the secure container includes an encrypted representation of the mathematical function and metadata identifying the mathematical function encrypted in the secure container. The method further includes providing the secure container from the first computer to the second computer over a communication transmission medium, where the secure container is accessed at the second computer using the metadata to identify the mathematical function, and where the mathematical function contained within the secure container is decrypted and incorporated into program code in a compiled form so that the mathematical function can be used but the mathematical function's content cannot be determined at the second computer.
摘要翻译：提供了系统和方法，用于提供从第一计算机到第二计算机的包括数学函数的软件代码的安全传输，使得不能在第二计算机处确定数学函数的内容。一种方法包括生成安全容器，其中安全容器包括数学函数的加密表示和标识在安全容器中加密的数学函数的元数据。该方法还包括通过通信传输介质将安全容器从第一计算机提供给第二计算机，其中使用元数据在第二计算机访问安全容器以识别数学函数，并且其中包含在安全性内的数学函数容器被解密并以编译形式并入程序代码中，使得可以使用数学函数，但是在第二计算机上不能确定数学函数的内容。

6. 发明授权

US08050959B1 System and method for modeling consortium data 有权
标题翻译：用于建模联盟数据的系统和方法
公开(公告)号：US08050959B1
公开(公告)日：2011-11-01
申请号：US11869388
申请日：2007-10-09
申请人： Donald James Erdman , Jacques Rioux , Laura Elizabeth Jackson
发明人： Donald James Erdman , Jacques Rioux , Laura Elizabeth Jackson
IPC分类号： G06Q10/00
CPC分类号： G06Q10/06 , G06Q10/0635
摘要： A method is provided for analyzing operational risk associated with one or more organizations, comprising receiving operational loss data from a plurality of organizations at a third-party risk management entity that is a separate entity from the plurality of organizations. The operational loss data includes confidential information regarding one or more of the plurality of organizations. The data received from the plurality of organizations, including the confidential information, is pooled. The pooled data is used to generate an operational risk model for one of the plurality of organizations, and this operational risk model is transmitted to the organization. A system for modeling operational risk for a plurality of organizations is provided, comprising a first data store configured to collect data regarding operational losses from the plurality of organizations, whose data includes confidential information regarding one or more of the organizations. The system includes software instructions configured to pool the operational loss data collected from the plurality of organizations and software instructions configured to generate operational risk models for the organizations using the pooled data, wherein the confidential information is not removed from the pooled data. The system also includes a second data store configured to store the generated models.
摘要翻译：提供了一种用于分析与一个或多个组织相关联的操作风险的方法，包括从作为来自所述多个组织的单独实体的第三方风险管理实体从多个组织接收操作损失数据。操作损失数据包括关于多个组织中的一个或多个的机密信息。汇集了从多个机构收到的数据，包括机密信息。汇集的数据用于为多个组织中的一个组织生成操作风险模型，并将该操作风险模型发送到组织。提供了一种用于为多个组织的操作风险建模的系统，包括：第一数据存储器，被配置为收集关于来自所述多个组织的操作损失的数据，所述组织的数据包括关于所述组织中的一个或多个的机密信息。该系统包括被配置为汇集从多个组织收集的操作损失数据的软件指令以及被配置为使用合并的数据为组织生成操作风险模型的软件指令，其中机密信息不从汇集数据中移除。该系统还包括被配置为存储生成的模型的第二数据存储。

7. 发明授权

US08392323B2 Computer-implemented systems and methods for parameter risk estimation for operational risk 有权
标题翻译：用于操作风险的参数风险估算的计算机实现系统和方法
公开(公告)号：US08392323B2
公开(公告)日：2013-03-05
申请号：US12706498
申请日：2010-02-16
申请人： Donald James Erdman , Jacques Rioux
发明人： Donald James Erdman , Jacques Rioux
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q10/067
摘要： Systems and methods are provided for determining a loss mitigation reserve requirement based on a risk measure estimation and a confidence interval associated with the risk measure estimation. Distribution parameters of a frequency model and distribution parameters of a severity model are determined, and a covariance matrix representing the determined parameters of the distribution of the frequency model and the determined parameters of distribution of the severity model is generated. One or more analytical derivatives of a cumulative distribution function of the frequency model, one or more analytical derivatives of a cumulative distribution function of the severity model, and a parameter covariance matrix are calculated. A confidence interval is computed for the risk measure estimation based on a vector of derivatives of a cumulative distribution function.
摘要翻译：提供了系统和方法，用于基于与风险度量估计相关联的风险度量估计和置信区间确定损失缓解准备金要求。确定频率模型的分布参数和严重性模型的分布参数，并生成表示频率模型分布的确定参数的协方差矩阵和确定的严重性模型分布参数。计算频率模型的累积分布函数，严重性模型的累积分布函数的一个或多个分析导数和参数协方差矩阵的一个或多个分析导数。基于累积分布函数的导数向量计算风险度量估计的置信区间。

8. 发明申请

US20110202373A1 Computer-Implemented Systems And Methods For Parameter Risk Estimation For Operational Risk 有权
标题翻译：计算机实现的系统和方法用于操作风险的参数风险估计
公开(公告)号：US20110202373A1
公开(公告)日：2011-08-18
申请号：US12706498
申请日：2010-02-16
申请人： Donald James Erdman , Jacques Rioux
发明人： Donald James Erdman , Jacques Rioux
IPC分类号： G06Q10/00 , G06N5/02 , G06Q40/00
CPC分类号： G06Q40/08 , G06Q10/067
摘要： Systems and methods are provided for determining a loss mitigation reserve requirement based on a risk measure estimation and a confidence interval associated with the risk measure estimation. Distribution parameters of a frequency model and distribution parameters of a severity model are determined, and a covariance matrix representing the determined parameters of the distribution of the frequency model and the determined parameters of distribution of the severity model is generated. One or more analytical derivatives of a cumulative distribution function of the frequency model, one or more analytical derivatives of a cumulative distribution function of the severity model, and a parameter covariance matrix are calculated. A confidence interval is computed for the risk measure estimation based on a vector of derivatives of a cumulative distribution function.
摘要翻译：提供了系统和方法，用于基于与风险度量估计相关联的风险度量估计和置信区间确定损失缓解准备金要求。确定频率模型的分布参数和严重性模型的分布参数，并生成表示频率模型分布的确定参数的协方差矩阵和确定的严重性模型分布参数。计算频率模型的累积分布函数，严重性模型的累积分布函数的一个或多个分析导数和参数协方差矩阵的一个或多个分析导数。基于累积分布函数的导数向量计算风险度量估计的置信区间。

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