Systems and methods for determining optimal pricing and risk control monitoring of auctioned assets including the automatic computation of bid prices for credit default swaps and the like

US8521566B2 · kind B2 · utility

Inventors

• Mukesh Chatter · Concord, US
• Rohit Goyal · San Francisco, US
• Shiao-bin Soong · Littleton, US

Key dates

• Filing date: Sep 29, 2009
• Grant date: Aug 27, 2013
• Expiry date: Oct 21, 2030

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/08
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Embodiments of the invention provide an innovative, fully-automated system that facilitates the buying and selling of debt-based derivatives and other assets. The techniques described herein eliminate opaqueness, inefficiencies, and lack of risk monitoring and provide an end-to-end, highly efficient reverse-auction platform that considers many aspects of risk control and other parameters. This is accomplished while computing a true CDS price by incorporating reference entity, primary and secondary insurance company default risks. Furthermore, the reference entity pricing model decouples the borrower from the entity issuing the debt and eliminates rating inflation due to digital discontinuity.