RISK MANAGEMENT SYSTEM AND METHOD PROVIDING RULE-BASED EVOLUTION OF A PORTFOLIO OF INSTRUMENTS

摘要

The invention relates to a system and a risk management process for creating dynamic portfolios, whose evolution in time is defined by one or more rules. Each Dynamic Portfolio may include instruments added and removed over time by financial managers as a result of an evaluation of the rules defined by the user. These rules depend on several parameters, such as time, the portfolio content, the risk factor values, risk values ​​and other information. These dynamic portfolios can be used to analyze the risks associated with problems of settlement, cash and / or collateral management, to name a few. A user can also define multiple competing trading strategies, each strategy being implemented in one or more financial managers. The user can then analyze the effectiveness of competing strategies before adopting one.