Methods and systems for assessing underwriting and distribution risks associated with subordinate debt
US9892461B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Jun 9, 2008 |
| Grant date | Feb 13, 2018 |
| Priority date | — |
| Expiry date | May 8, 2034 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A method for assessing underwriting and distribution risks associated with a portfolio of subordinate debt is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event and generating a plurality of simulated subordinate debt warehouses using the computer and the historical bond issue data stored in the database. The method also includes calculating a historical loss distribution based on the plurality of simulated subordinate debt warehouses generated. The method also includes determining a value at risk for a portfolio of subordinate debt resulting from a potential liquidity event by applying the historical loss distribution to the portfolio of subordinate debt.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.