A risk management system for securities

Abstract

A method and system ( 100 ) for identifying, measuring and managing the risk associated with a portfolio of securities.

1 . A risk method, comprising: 
 aggregating data related to a security portfolio,    identifying a plurality of risks by source that may have an impact on a financial performance of said portfolio by analyzing at least a portion of said data, and    completing a series of tasks related to said risks where the tasks are selected from the group consisting of measuring said risks, identifying an optimal set of risk transfer transactions for each portfolio, completing an optimal set of risk transfer transactions for each portfolio, reporting said risks and combinations thereof 
 where a plurality of risks further comprise event risks and risks selected from the group consisting of contingent liabilities, strategic risks, variability risks, volatility and combinations thereof.  
   
   
   
       2 . The method of  claim 1  wherein identifying an optimal set of risk transfer transactions further comprise identifying a set of transactions selected from the group consisting of insurance policy transactions, swap transactions, derivative transactions, contingent capital transactions, security sales and combinations thereof.  
   
   
       3 . The method of  claim 1  wherein measuring a plurality of identified risks further comprises developing a plurality of scenarios selected from the group consisting of normal, extreme, regulatory and combinations thereof for a security portfolio financial performance and simulating the performance of the portfolio under each scenario in order to measure the impact of each risk from the plurality of risks by source.  
   
   
       4 . The method of  claim 1  wherein identifying a plurality of risks by source further comprises identifying an external factor that is a source of one or more risks.  
   
   
       5 . The method of  claim 4  wherein an external factor is selected from the group consisting of the ratio of actual earnings to expected earnings, a commodity price, an inflation rate, a gross national product (gnp) growth rate, a market volatility measure, volatility vs. industry average volatility, an interest rate, an interest rate change, an insider trading direction, an insider trading level, a consumer confidence level an unemployment rate and combinations thereof.  
   
   
       6 . The method of  claim 1  wherein identifying a plurality of risks by source further comprises identifying an element of value that is a source of one or more risks where an element of value is selected from the group consisting of alliances, brands, customers, customer relationships, employees, employee relationships, infrastructure, intellectual property, information technology, partnerships, processes, production equipment, vendors, vendor relationships and combinations thereof.  
   
   
       7 . The method of  claim 1  that further comprises: 
 obtaining a set of measured risks for a plurality of customers, a set of regulatory requirements and a plurality of performance data for a risk transfer operation,    generating a plurality of scenarios for a risk transfer operation performance using the performance data, regulatory requirements and customer risk data;    identifying and displaying an optimal mode for risk transfer operation under each scenario, and    optionally implementing the optimal mode for a chosen scenario in an automated fashion where implementing an optimal mode for the risk transfer operation includes taking actions selected from the group consisting of changing one or more contingent capital contracts, purchasing one or more contingent capital contracts, changing a duration for one or more investments, changing an investment mix, adding one or more risk transfer products, changing one or more risk transfer product specification, changing one or more risk transfer product prices, changing one or more reserve levels, completing a plurality of customer risk transfer transactions and combinations thereof.    
   
   
       8 . A computer readable medium having sequences of instructions stored therein, which when executed cause the processor in a computer to perform a risk method, comprising: 
 aggregating data from a plurality of management systems for a portfolio of securities,    developing a model of portfolio performance by segment of value using said data; and    quantifying a plurality of risks by source of risk that have an impact on the financial performance of said portfolio using said model    where the segments of value are selected from the group consisting of derivatives, investments and combinations thereof, and    where the sources of risk are selected from the group consisting of a plurality of elements of value, a plurality of external factors and combinations thereof.    
   
   
       9 . The computer readable medium of  claim 8  wherein the method further comprises: 
 completing a series of tasks related to a plurality of quantified risks for a portfolio wherein said tasks are selected from the group consisting of identifying an optimal set of risk transfer transactions for the portfolio, completing an optimal set of risk transfer transactions for the portfolio, reporting said portfolio risks and combinations thereof    
   
   
       10 . The computer readable medium of  claim 8  wherein a plurality of risks further comprise event risks and risks selected from the group consisting of contingent liabilities, strategic risks, variability risks, volatility and combinations thereof.  
   
   
       11 . The computer readable medium of  claim 8  wherein identifying an optimal set of risk transfer transactions further comprise identifying a set of transactions selected from the group consisting of insurance policy transactions, swap transactions, derivative transactions, contingent capital transactions, security sales and combinations thereof.  
   
   
       12 . The computer readable medium of  claim 8  wherein quantifying a plurality of risks further comprises developing a plurality of scenarios selected from the group consisting of normal, extreme, regulatory and combinations thereof for a portfolio of securities financial performance and simulating the performance of the portfolio by segment of value under each scenario in order to measure the impact of each risk from the plurality of risks.  
   
   
       13 . The computer readable medium of  claim 8  wherein a plurality of external factors are selected from a group consisting of the ratio of actual earnings to expected earnings, a commodity price, an inflation rate, a gross national product (gnp) growth rate, a market volatility measure, volatility vs. industry average volatility, an interest rate, an interest rate change, an insider trading direction, an insider trading level, a consumer confidence level an unemployment rate and combinations thereof.  
   
   
       14 . The computer readable medium of  claim 8  wherein a plurality of elements of value are selected from the group consisting of is selected from the group consisting of alliances, brands, customers, customer relationships, employees, employee relationships, infrastructure, intellectual property, information technology, partnerships, processes, production equipment, vendors, vendor relationships and combinations thereof.  
   
   
       15 . A risk system, comprising: 
 networked computers each with a processor having circuitry to execute instructions; a storage device available to each processor with sequences of instructions stored therein, which when executed cause the processors to: 
 aggregate data related to a security portfolio,  
 identify a plurality of risks by source that may have an impact on a financial performance of said portfolio by analyzing at least a portion of said data, and  
 complete a series of tasks related to said risks where the tasks are selected from the group consisting of measuring said risks, identifying an optimal set of risk transfer transactions for each portfolio, completing an optimal set of risk transfer transactions for each portfolio, reporting said risks and combinations thereof 
 where a plurality of risks further comprise event risks and risks selected from the group consisting of contingent liabilities, strategic risks, variability risks, volatility and combinations thereof.  
 
   
   
   
       16 . The system of  claim 15  wherein identifying an optimal set of risk transfer transactions further comprise identifying a set of transactions selected from the group consisting of insurance policy transactions, swap transactions, derivative transactions, contingent capital transactions, security sales and combinations thereof.  
   
   
       17 . The system of  claim 15  wherein measuring a plurality of identified risks further comprises developing a plurality of scenarios selected from the group consisting of normal, extreme, regulatory and combinations thereof for a security portfolio financial performance and simulating the performance of the portfolio under each scenario in order to measure the impact of each risk from the plurality of risks by source.  
   
   
       18 . The system of  claim 15  wherein identifying a plurality of risks by source further comprises identifying an external factor that is a source of one or more risks.  
   
   
       19 . The system of  claim 18  wherein an external factor is selected from the group consisting of the ratio of actual earnings to expected earnings, a commodity price, an inflation rate, a gross national product (gnp) growth rate, a market volatility measure, volatility vs. industry average volatility, an interest rate, an interest rate change, an insider trading direction, an insider trading level, a consumer confidence level an unemployment rate and combinations thereof.  
   
   
       20 . The system of  claim 15  wherein identifying a plurality of risks by source further comprises identifying an element of value that is a source of one or more risks where an element of value is selected from the group consisting of alliances, brands, customers, customer relationships, employees, employee relationships, infrastructure, intellectual property, information technology, partnerships, processes, production equipment, vendors, vendor relationships and combinations thereof.