Credit default swap post credit event
US8571966B2 · kind B2 · utility
0Cited by
0References
23Claims
0Family size
Assignee
Inventors
Key dates
| Filing date | Dec 14, 2009 |
| Grant date | Oct 29, 2013 |
| Priority date | — |
| Expiry date | Jul 15, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/048
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Methods, systems and apparatuses are described for determining that a credit event has occurred for an entity; determining an upfront price and a bond price for a credit default swap deliverable (CDSD) contract associated with the entity; determining a first weighting for the upfront price and a second weighting for the bond price; and calculating a settlement price for the CDSD contract that is a function of the first weighting, the second weighting, the upfront price, and the bond price.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.