최소 단어 이상 선택하여야 합니다.
최대 10 단어까지만 선택 가능합니다.
다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
NTIS 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
DataON 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
Edison 바로가기다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
Kafe 바로가기국가/구분 | United States(US) Patent 등록 |
---|---|
국제특허분류(IPC7판) |
|
출원번호 | UP-0100841 (2005-04-07) |
등록번호 | US-7756896 (2010-08-02) |
발명자 / 주소 |
|
출원인 / 주소 |
|
대리인 / 주소 |
|
인용정보 | 피인용 횟수 : 40 인용 특허 : 649 |
A risk analysis method uses a multi-dimensional risk representation that allows a standard OLAP engine to perform analysis on multi-dimensional data corresponding to a portfolio of financial positions. The analysis includes context-dependent, heterogeneous aggregation functions. The multi-dimensiona
A risk analysis method uses a multi-dimensional risk representation that allows a standard OLAP engine to perform analysis on multi-dimensional data corresponding to a portfolio of financial positions. The analysis includes context-dependent, heterogeneous aggregation functions. The multi-dimensional data is represented as a multi-layered multi-dimensional cube (“outer” cube), which consists of dimensions and cells. Each cell includes a set of coordinates and an inner multi-dimensional cube (“inner” cube). Dimensions of the inner cube include all dimensions required for aggregations. Dimensions of the outer cube include only dimensions needed for context (or reporting). An aggregation is performed on the set of measures of the inner cube based on a context for the aggregation provided by the outer cube.
What is claimed is: 1. A method of representing a portfolio of financial positions on which a risk analysis is to be performed, comprising the steps of: constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dim
What is claimed is: 1. A method of representing a portfolio of financial positions on which a risk analysis is to be performed, comprising the steps of: constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions, wherein the dimensions of the outer cube include information relating to a context of the risk analysis, wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, and wherein, for each position P to be added to an inner-cube cell C, P includes a measures object MP and a set of coordinates SP, C includes a measures object MC and a set of coordinates SC, for all k where k is an element of a set that includes 1 through n, and vk is a value from a data hierarchy for the kth dimension, a mapping operation for mapping coordinates and measures of P to C is given by: C→SC→vk={P→SP→vk|“−”}, set C→MC+=P→MP. 2. A method according to claim 1, wherein a dimension is removed from an inner-cube cell by projecting the dimension to be removed onto one or more other dimensions of the inner cube, such that: for IN={CN}, in which IN denotes an N-dimensional inner cube as a collection of N-dimensional cells CN, IN is projected onto an (N−1)-dimensional cube (IN-1J), where a dimension J is removed, for each N-dimensional cell CN that is an element of IN, and for all k where k is an element of a set that includes 1 through n, with k≠J, every cell C′ of IN-1J is found such that IN-1J→C′→SC→vk=IN→C→SC→vk, and a mapping operation is set in which IN-1J→C′→MC=fJOC,μ(IN-1J→C′→MC, IN→C→MC), where fJOC,μ( . . . ) is a J-dependent aggregation function. 3. A method according to claim 1, wherein, for a total projection of a dimension of an inner cube, if IZJ denotes an inner cube in which a set of values for a Jth dimension is drawn from a level Z, and if IZ-1J denotes an inner cube in which a set of values for the Jth dimension is drawn from a level Z−1, then, for each cell C that is an element of IZJ, a cell C′ of IZ-1J is found such that IZ-1J→C′→MC=fZJOC,μ(IZ-1J→C′→MC, IZJ→C→MC), wherein a value IZ-1J→C′→SC→vJ is a parent of a value IZJ→C→SC→v′J, wherein fZJOC,μ( . . .) is a J-dependent and Z-dependent aggregation function, wherein OC refers to the outer cube, and wherein μ refers to an aggregation methodology. 4. A method according to claim 1, wherein, in a merge operation in which an inner cube IN is merged with an inner cube I′N, for each cell C of the inner cube IN and each cell C′ of the inner cube I′N, and for all k where k is an element of a set that includes 1 through n, the merge operation is performed according to: IN→C→SC→vk=I′N→C′→SC→vk and I′N→C′→MC+=IN→C→MC. 5. A method of performing risk analysis on a portfolio of financial positions, comprising the steps of: constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions, wherein the dimensions of the outer cube include information relating to a context of the risk analysis, wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, wherein each cell of the inner cube includes a set of measures, which includes at least one scalar measure and at least one vector measure, wherein, for each position P to be added to an inner-cube cell C,P includes a measures object MP and a set of coordinates SP, C includes a measures object MC and a set of coordinates SC, for all k where k is an element of a set that includes 1 through n, and vk is a value from a data hierarchy for the kth dimension, a mapping operation for mapping coordinates and measures of P to C is given by: C→SC→vk={P→SP→vk|“−”}, set C→MC+=P→MP; and performing an aggregation operation on the set of measures according to the dimensions of the inner cube and according to the context of the risk analysis included in the dimensions of the outer cube. 6. A method according to claim 5, wherein a dimension is removed from an inner-cube cell by projecting the dimension to be removed onto one or more other dimensions of the inner cube, such that: for IN={CN}, in which IN denotes an N-dimensional inner cube as a collection of N-dimensional cells CN, IN is projected onto an (N−1)-dimensional cube (IN-1J), where a dimension J is removed, for each N-dimensional cell CN that is an element of IN, and for all k where k is an element of a set that includes 1 through n, with k≠J, every cell C′ of IN-1J is found such that IN-1J→C′→SC→vk=IN→C→SC→vk, and a mapping operation is set in which IN-1J→C′→MC=fJOC,μ(IN-1J→C′→MC, IN→C→MC), where fJOC,μ( . . . ) is a J-dependent aggregation function. 7. A method according to claim 5, wherein, for a total projection of a dimension of an inner cube, if IZJ denotes an inner cube in which a set of values for a Jth dimension is drawn from a level Z, and if IZ-1J denotes an inner cube in which a set of values for the Jth dimension is drawn from a level Z−1, then, for each cell C that is an element of IZJ, a cell C′ of IZ-1J is found such that IZ-1J→C′→MC=fZJOC,μ(IZ-1J→C′→MC, IZJ→C→MC), wherein a value IZ-1J→C′→SC→vJ is a parent of a value IZJ→C→SC→v′J, wherein fZJOC,μ( . . .) is a J-dependent and Z-dependent aggregation function, wherein OC refers to the outer cube, and wherein μ refers to an aggregation methodology. 8. A method according to claim 5, wherein, in a merge operation in which an inner cube IN is merged with an inner cube I′N, for each cell C of the inner cube IN and each cell C′ of the inner cube I′N, and for all k where k is an element of a set that includes 1 through n, the merge operation is performed according to: IN→C→SC→vk=I′N→C′→SC→vk and I′N→C′→MC+=IN→C→MC.
※ AI-Helper는 부적절한 답변을 할 수 있습니다.