System and method for pricing default insurance

Details System and method for pricing default insurance System and method for pricing default insurance

2010-06-24

2010-10-19

Colbert, Ella (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000, C705S038000, C706S050000

Reexamination Certificate

active

07818242

ABSTRACT:
A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.

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