COMPUTER SYSTEM FOR DETERMINING RISK INDEX OF A FINANCIAL INSTRUMENT AND METHOD THEREOF

摘要

Computer system for determining and providing one or more users with a numerical index representative of the risk connected to an investment through a single financial instrument or a portfolio comprising several financial instruments, of the kind which comprises one or more computers connected in order to exchange data, said system implementing at least the following processing steps: identifying the market factors and a calculation model to use for the calculation of prices for the instrument or instruments which form the portfolio; collecting the historical values of the market factors observed during the latest h periods; revaluating the instrument or portfolio on the basis of the set of data regarding the h periods and calculating profits and losses as to the instrument or portfolio current value; arranging the economic results starting from the highest net profit to the highest loss; identifying the loss which is exceeded in a percentage of cases, particularly in 1 % cases. According to the invention, said one or more computers comprise a data collection and management system (TSI), a calculation engine (KE) for said risk index and one or more distribution systems.