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SIMULATION OF REAL WORLD EVOLUTIVE AGGREGATE, IN PARTICULAR FOR RISK MANAGEMENT
SIMULATION OF REAL WORLD EVOLUTIVE AGGREGATE, IN PARTICULAR FOR RISK MANAGEMENT
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机译:模拟现实世界中的累积总量,尤其是风险管理
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摘要
The invention concerns a computerized system for simulating real-world evolving aggregates including a memory, for storing data structures, proper, for a given real-world element, with an element-identifier and a series of element-magnitudes corresponding to the respective element-dates. The memory then stores the aggregate data, defined by groups of element-identifiers, each group being associated with a group-date, whereas an aggregate-magnitude can be derived from element-magnitudes corresponding to the group's element-identifiers, at each group-date. The system also includes a simulation generator, arranged to establish a computer model relative to an aggregate to match particular functions to respective leading parameters, selected for the aggregate in question, each particular function resulting from adjustment of the history of the aggregate magnitude with respect to the history of its respective leading parameter, up to a residue, the adjustment being attributed a quality score. In addition, the model relative to the aggregate includes a collection of mono-factorial models, defined by a list of leading parameters, a list of corresponding particular functions and their respective quality scores.
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