Security downlink risk assessment and diagnosis method and system
A risk assessment and securities technology, applied in the field of securities risk assessment, can solve problems such as large errors and achieve the effect of improving the accuracy of assessment
Pending Publication Date: 2019-07-05
上海叮诺科技有限公司
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Since the value at risk estimation method is based on a pure security price time series prediction model, it cannot make a more accurate and comprehensive judgment by integrating multi-dimensional information and referring to changes in similar security price data, especially for daily or monthly data. Risk assessment, error can become very large
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[0041] The technical solutions in the embodiments of the present invention will be clearly and completely described below in conjunction with the accompanying drawings. Apparently, the described embodiments are only some, not all, embodiments of the present invention. Based on the embodiments of the present invention, all other embodiments obtained by persons of ordinary skill in the art without making creative efforts belong to the protection scope of the present invention.
[0042] In order to solve the problem existing in the prior art that it is impossible to understand the extent and possibility of possible future losses based on the existing securities data and to make a more accurate and comprehensive judgment, the present invention provides a method for assessing and diagnosing the downside risk of securities and system.
[0043] figure 1 Shown is a flow chart of a method for assessing and diagnosing securities downside risk in an embodiment of the present invention, ...
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The invention discloses a security downlink risk assessment and diagnosis method and system, and the method comprises the steps of building a data set according to a target variable and a quantitativecharacteristic variable; selecting the dynamic salient features according to the data set to obtain the model variables, establishing a dynamic scoring model, generating the scoring rules according to the dynamic scoring model, and obtaining the final model scoring values; and calculating a low-risk probability value and a final probability distribution value according to the final model score values to obtain a standard security score, and obtaining a diagnosis text according to the standard security score. According to the security downlink risk assessment and diagnosis method and system provided by the invention, the assessment accuracy of the security downlink risk and the possible loss of the security assets in the future is improved.
Description
technical field [0001] The invention relates to the technical field of securities risk assessment, in particular to a method and system for assessing and diagnosing securities downside risks. Background technique [0002] The current method for evaluating the downside risk of securities is mainly based on the time series forecasting method, which is called the value-at-risk estimation method. [0003] The value at risk estimation method is mainly to predict the historical price time series data of the appraised securities, and obtain the price distribution for a period of time in the future, so as to calculate the value of the value at risk estimation method. Since the value at risk estimation method is based on a pure security price time series prediction model, it cannot make a more accurate and comprehensive judgment by integrating multi-dimensional information and referring to changes in similar security price data, especially for daily or monthly data. Risk assessment,...
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IPC IPC(8): G06Q10/06G06Q40/06
CPCG06Q10/0635G06Q40/06
Inventor 朱代辉谭文清丁伟杰
Owner 上海叮诺科技有限公司