Collateralized debt obligation evaluation system and method
US8112340B2 · kind B2 · utility
6Cited by
2References
31Claims
0Family size
Assignee
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Key dates
| Filing date | May 11, 2007 |
| Grant date | Feb 7, 2012 |
| Priority date | — |
| Expiry date | Mar 1, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A computerized system and method for evaluating collateralized debt obligations receives user input selecting a scenario or feature, loads data related to a portfolio of securitized assets on to the computer storage medium, determines a scenario default rate using at least one of a beta distributed recovery, a counterparty risk, a loss given default, or a non-zero inter-sector correlation, or models at least one of a short position scenario, a nth to default basket, a forward start date and an equity default swap, and reports a result relating to the scenario default rate.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.