System and method for generating risk management curves

US7890343B1 · kind B1 · utility

Assignee

• JPMORGAN CHASE BANK, N.A. · US

Inventors

• Anthony Iasello · Rockville Centre, US
• Philip H. Jung · East Brunswick Township, US
• Samik Chandarana · London, GB
• Kapil Bhatia · Jersey City, US
• Robert Machado · Nutley, US
• Doron Simon · New York, US
• Stephen Wayne Bennett · Pearland, US
• Chet Zhang · New York, US
• Gary K. Michelson · Santa Monica, US
• Paul Coolen · London, GB
• Mitchell Smith · Newton, US

Key dates

• Filing date: Jan 11, 2005
• Grant date: Feb 15, 2011
• Expiry date: Sep 10, 2027

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/03
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Accurate risk management curves are generated for companies that have limited market information available to generate a risk management curve purely from the market information by allowing a pre-existing risk management curve (referred to as a “leader curve”) to be selected as a basis for generating a new risk management curve (referred to as a “target curve”). The leader curve may pertain to a company (referred to as the “leader company”) that has similar characteristics to the company for which the target curve is being generated (referred to as the “target company”). Further, any known differences between the leader company and the target company may be reflected in the target curve by incorporating any number of offsets between the leader curve and the target curve.