Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2006-08-08
2006-08-08
Gort, Elaine (Department: 3627)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S002000, C705S035000
Reexamination Certificate
active
07089207
ABSTRACT:
Using observable market factors which reflect a current share price, a given share price, volatility in given share price, expected debt recovery fraction, and percentage standard deviation in the expected debt recovery fraction, the instant invention provides probability estimates for no default by a company within a given future time horizon. The invention has applications in the field of bond and company rating and calculation of credit spreads. The invention also provides a relationship between credit spreads, equity prices and volatility, useful as a price discovery tool in determining fair market price of the credit risk, on a name basis for credits that have public equity.
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Finkelstein Vladimir
Khuong-Huu Philippe K
Lardy Jean-Pierre
Yang Yunong N
Gort Elaine
JPMorgan Chase & Co.
Milbank Tweed Hadley & McCloy LLP
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