Methods and systems for risk management
View Patent ↗In one aspect, the invention comprises acquiring background data regarding securities positions and regarding real-time pricing data; performing calculations regarding intermediate measures of performance of the securities; receiving configuration data for a portfolio of securities and one or more data requests, at least one of the data requests comprising a request for a value at risk report regarding the portfolio; and providing a value at risk report based on a Parkinson's volatility estimation. In another aspect, the invention comprises displaying a tree structure display in a first portion of a graphical user interface display; in response to a user selecting an item from the tree structure display, displaying a corresponding listing in a tabular display in a second portion of the graphical user interface display; and in response to the user selecting a listing in the tabular display, displaying a corresponding item in the tree structure display.
1. A computer implemented method comprising:
acquiring background data regarding securities positions and regarding real-time pricing data;
performing, by a computer, calculations regarding intermediate measures of performance of said securities;
receiving at least one request comprising a request for a value at risk report regarding said securities;
calculating, by a computer, before the end of a current trading day, an estimated whole day volatility for the current trading day for at least one of said securities, wherein said estimated whole day volatility (V) calculation comprises calculating a Parkinson's volatility estimation of daily volatility based on an intra-period high and low during the current trading day and based on a √{square root over (T)} rule, wherein the √{square root over (T)} rule refers to, given a standard deviation for a period, a standard deviation for T periods being estimated as equal to √{square root over (T)} multiplied by said standard deviation for said period; and
providing, by a computer, a value at risk report based on said background data, said intermediate measures, said estimated whole day volatility, and Parkinson's volatility estimation, wherein said estimated whole day volatility (V) is calculated using
V
=
T
D
T
0
1
2
ln
2
ln
H
L
,
wherein H is the intra-period high, L is the intra-period low, T D is the total time of the current trading day, and T 0 is the time period that has lapsed since the security started its trading for the current trading day.
2. A method as in claim 1 , wherein said step of acquiring background data comprises obtaining real-time data regarding positions from one or more order management systems.
3. A method as in claim 1 , wherein said step of acquiring background data comprises obtaining real-time pricing data from one or more market data services.
4. A method as in claim 1 , wherein said step of acquiring background data comprises obtaining high-low volatility data based on a plurality of recent trading days.
5. A method as in claim 4 , wherein said plurality of recent trading days is ten days.
6. A method as in claim 1 , wherein said step of performing calculations regarding intermediate measures of performance of said securities comprises computing implied volatility for options based on a Black-Scholes formula and market prices.
7. A method as in claim 1 , wherein said step of performing calculations regarding intermediate measures of performance of said securities comprises computing multi-point risk arrays based on option implied volatility and stock high-low volatility.
8. A method as in claim 1 , wherein intermediate measures of performance comprise positions, volatilities, and risk arrays.
9. A method as in claim 8 , wherein said step of providing a value at risk report comprises grouping positions by underlying securities.
10. A method as in claim 9 , wherein said step of providing a value at risk report comprises aggregating risk arrays for positions in the same group.
11. A method as in claim 10 , wherein said step of providing a value at risk report comprises aggregating risk arrays for positions within each of one or more groups based on correlation coefficients between different groups.
12. A method as in claim 1 , wherein said step of providing a value at risk report comprises transmitting said report to a graphical user interface for display.
13. A computer readable storage medium storing instructions executable by a processor, which when executed, cause the computer to perform a method comprising:
acquiring background data regarding securities positions and regarding real-time pricing data;
calculating intermediate measures of performance of said securities;
receiving at least one data request comprising a request for a value at risk report regarding said securities;
calculating, before the end of a current trading day, an estimated whole day volatility for the current trading day for at least one of said securities, wherein said estimated whole day volatility (V) calculation comprises calculating a Parkinson's volatility estimation of daily volatility based on an intra-period high and low during the current trading day and based on a √{square root over (T)} rule, wherein the √{square root over (T)} rule refers to, given a standard deviation for a period, a standard deviation for T periods being estimated as equal to √{square root over (T)} multiplied by said standard deviation for said period; and
providing a value at risk report based on said background data, said intermediate measures, said estimated whole day volatility, and Parkinson's volatility estimation, wherein said estimated whole day volatility (V) is calculated using,
V
=
T
D
T
0
1
2
ln
2
ln
H
L
wherein H is the intra-period high, L is the intra-period low, T D is the total time of the current trading day, and T 0 is the time period that has lapsed since the security started its trading for the current trading day.
14. A computer readable storage medium as in claim 13 , wherein acquiring background data comprises obtaining real-time data regarding positions from one or more order management systems.
15. A computer readable storage medium as in claim 13 , wherein acquiring background data comprises obtaining real-time pricing data from one or more market data services.
16. A computer readable storage medium as in claim 13 , wherein acquiring background data comprises obtaining high-low volatility data based on a plurality of recent trading days.
17. A computer readable storage medium as in claim 16 , wherein said plurality of recent trading days is ten days.
18. A computer readable storage medium as in claim 13 , wherein calculating intermediate measures of performance of said securities comprises computing implied volatility for options based on a Black-Scholes formula and market prices.
19. A computer readable storage medium as in claim 13 , wherein calculating intermediate measures of performance of said securities comprises computing multi-point risk arrays based on option implied volatility and stock high-low volatility.
20. A computer readable storage medium as in claim 13 , wherein intermediate measures of performance comprise positions, volatilities, and risk arrays.
21. A computer readable storage medium as in claim 20 , wherein providing a value at risk report comprises grouping positions by underlying securities.
22. A computer readable storage medium as in claim 21 , wherein providing a value at risk report comprises aggregating risk arrays for positions in the same group.
23. A computer readable storage medium as in claim 22 , wherein providing a value at risk report comprises aggregating risk arrays for positions within each of one or more groups based on correlation coefficients between different groups.
24. A computer readable storage medium as in claim 13 , wherein providing a value at risk report comprises transmitting said report to a graphical user interface for display.
25. A method as in claim 8 , wherein for each of one or more positions, one or more elements of a corresponding risk array are computed based on a product of price, volume, and risk array elements for the security in which the position is held.
26. A method as in claim 11 , wherein said correlation coefficients comprise zero correlation for assets in different asset classes.
27. A method as in claim 26 , wherein said correlation coefficients comprise correlation of 0.5 for assets within an asset class.
28. A method as in claim 27 , wherein said correlation coefficients comprise high correlation for assets with the same underliers.
29. A method as in claim 1 , wherein said Parkinson's volatility approximation of daily volatility is further based on Parkinson's volatility estimates for prior days.
30. A computer readable storage medium as in claim 20 , wherein for each of one or more positions, one or more elements of a corresponding risk array are computed based on a product of price, volume, and risk array elements for the security in which the position is held.
31. A computer readable storage medium as in claim 23 , wherein said correlation coefficients comprise zero correlation for assets in different asset classes.
32. A computer readable storage medium as in claim 31 , wherein said correlation coefficients comprise correlation of 0.5 for assets within an asset class.
33. A computer readable storage medium as in claim 32 , wherein said correlation coefficients comprise high correlation for assets with the same underliers.
34. A computer readable storage medium as in claim 13 , wherein said Parkinson's volatility approximation of daily volatility is further based on Parkinson's volatility estimates for prior days.