Title:
整合性のあるリスク予測と集積因子モデルを作成する方法および装置
Document Type and Number:
Japanese Patent JP2004534305
Kind Code:
A
Abstract:
An invention forcing an aggregate risk model to be consistent with standalone models is provided. A revising transformation parameterized over and an objective function minimized over, the orthogonal group are provided, least changing cross blocks of covariance matrices, preserving information in original cross block correlations, consistent with a prescribed revised sub-block.
Inventors:
Goldberg Lisa Robin
Kecheval Alec
Mirror guy
Kecheval Alec
Mirror guy
Application Number:
JP2003502728A
Publication Date:
November 11, 2004
Filing Date:
June 04, 2002
Export Citation:
Assignee:
Barra Inc.
International Classes:
G06F7/60; G06F17/10; G06Q40/00; (IPC1-7): G06F17/60
Attorney, Agent or Firm:
Masao Sawada